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2020•Open Economies ReviewRequires access

The Present-Value Model of the Exchange Rate with a Persistently Time-Varying Risk Premium: Evidence from the Dollar-Yen Rate

Makoto Shimizu

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Key concepts: Exchange rate, Interest rate parity, Risk premium, Economics, Covered interest arbitrage, Foreign exchange risk, International Fisher effect, Econometrics

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The Present-Value Model of the Exchange Rate with a Persistently Time-Varying Risk Premium: Evidence from the Dollar-Yen Rate — Research Paper | ScholarLens