KCI등재
학술저널
The Elasticity of Substitution across Maturities in International Capital Markets: A Simple Test
The Elasticity of Substitution across Maturities in International Capital Markets: A Simple Test
- Konstantinos Drakos
- 세종대학교 경제통합연구소
- Journal of Economic Integration
- 제20권 제4호
- 등재여부 : KCI등재
- 2005.12
- 727 - 745 (19 pages)
The paper tests the hypothesis of a maturity-independent foreign exchange risk premium or equivalently of a constant elasticity of substitution of international assets across the maturity spectrum. The empirical findings indicate that elasticity of substitution is indeed a function of maturity. In addition, the premia are found to be a monotonic function of the maturity distance between assets.
Ⅰ. Introduction
Ⅱ. The Term Structure of Deviations from the UIRP
Ⅲ. Data
Ⅳ. Empirical Results
Ⅴ. Conclusion