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A Random Walk Around the : Expectations, Risk, Interest Rates and Consequences for External Imbalance

1 Oct 1989 RDP 8906
Jeremy Smith and David W.R. Gruen
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/1989/8906.html

Introduction

1 Oct 1989 RDP 8906
Jeremy Smith and David W.R. Gruen
Thus,. where i and r denote the nominal and real interest rates for some asset, S is the nominal $US/$A exchange rate, ΔS is the change in S over the ... The risk premia, rp and rp. R. , are the excess returns demanded by a US investor to hold the
https://www.rba.gov.au/publications/rdp/1989/8906/introduction.html

The Risk Premium

1 Oct 1989 RDP 8906
Jeremy Smith and David W.R. Gruen
The Risk Premium. Jeremy Smith and David W. R. Gruen. October 1989. ... R. from equation (2), which a US investor requires to hold a fraction x.
https://www.rba.gov.au/publications/rdp/1989/8906/risk-premium.html

A Random Walk Around the : Expectations, Risk, Interest Rates and Consequences for External Imbalance

1 Oct 1989 RDP 8906
Jeremy Smith and David W. R. Gruen
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/1989/8906/

References

1 Oct 1989 RDP 8906
Jeremy Smith and David W.R. Gruen
Download the Paper 1.72. MB. Bewley, R., Lowe, P. and Trevor, R. ... Cumby, R.E. (1988), ‘Is it Risk? Explaining deviations from uncovered interest parity.’.
https://www.rba.gov.au/publications/rdp/1989/8906/references.html

Appendix D

1 Oct 1989 RDP 8906
Jeremy Smith and David W.R. Gruen
Jeremy Smith and David W. R. Gruen. October 1989.
https://www.rba.gov.au/publications/rdp/1989/8906/appendix-d.html

Data Appendix

1 Oct 1989 RDP 8906
Jeremy Smith and David W.R. Gruen
Jeremy Smith and David W. R. Gruen. October 1989.
https://www.rba.gov.au/publications/rdp/1989/8906/data-appendix.html

Appendix C

1 Oct 1989 RDP 8906
Jeremy Smith and David W.R. Gruen
Jeremy Smith and David W. R. Gruen. October 1989.
https://www.rba.gov.au/publications/rdp/1989/8906/appendix-c.html

Skewness

1 Oct 1989 RDP 8906
Jeremy Smith and David W.R. Gruen
Skewness. Jeremy Smith and David W. R. Gruen. October 1989.
https://www.rba.gov.au/publications/rdp/1989/8906/skewness.html

Inflation and Interest Rates

1 Oct 1989 RDP 8906
Jeremy Smith and David W.R. Gruen
Inflation and Interest Rates. Jeremy Smith and David W. R. Gruen. ... The expected short-term real interest rate differential between each country j and the US, r.
https://www.rba.gov.au/publications/rdp/1989/8906/inflation-and-interest-rates.html