Determinants of the Foreign Exchange Risk Premium in Gulf Cooperation Council Countries

Determinants of the Foreign Exchange Risk Premium in Gulf Cooperation Council Countries
This paper analyzes macroeconomic determinants of the foreign exchange risk premium in two Gulf Cooperation Council (GCC) countries that peg their currencies to the U.S. dollar: Saudi Arabia and the United Arab Emirates. The analysis is based on the stochastic discount factor methodology, which imposes a no arbitrage condition on the... READ MORE...

Publication date: November 2010
ISBN 9781455209552
$18.00

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