
<oai_dc:dc xmlns:dc="http://purl.org/dc/elements/1.1/" xmlns:oai_dc="http://www.openarchives.org/OAI/2.0/oai_dc/">
  <dc:type>info:eu-repo/semantics/article</dc:type>
  <dc:identifier>https://phaidrabg.bg.ac.rs/o:28255</dc:identifier>
  <dc:identifier>doi:10.1080/00128775.2020.1840275</dc:identifier>
  <dc:description xml:lang="eng">ABSTRACT: This paper examines the uncovered interest-rate parity in a developing
economy that implements inflation targeting. We study the exchange
rate between the Euro and Serbian Dinar over different time horizons.
We apply APARCH-in-mean to measure the impact and nature of
a time-varying risk premium and capture the influence of higher-
order moments on expected currency returns. We find a significant
positive association between the returns and the interest-rate differ-
ential over shorter horizons when the risk premium is included.
Asymmetries and fat tails are essential in explaining average returns
over time horizons of up to one month.</dc:description>
  <dc:language>eng</dc:language>
  <dc:creator id="https://orcid.org/0000-0002-5087-1977 https://plus.cobiss.net/cobiss/sr/sr/conor/1544295">Božović, Miloš</dc:creator>
  <dc:date>2021</dc:date>
  <dc:source>Eastern European economics 59(3)</dc:source>
  <dc:subject xml:lang="eng">Keywords: Interest-rate differential; time-varying premium; exchange-rate fundamentals </dc:subject>
  <dc:rights>http://creativecommons.org/licenses/by-nc-nd/4.0/legalcode</dc:rights>
  <dc:title xml:lang="eng">Uncovered Interest-rate Parity and Risk Premium : Evidence from EUR/RSD Exchange Rate</dc:title>
  <dc:format>application/pdf</dc:format>
  <dc:format>1060597 bytes</dc:format>
</oai_dc:dc>