| dc.contributor.author | Watuwa, Richard. | en_US |
| dc.date.accessioned | 2014-10-21T12:37:34Z | |
| dc.date.available | 2002 | |
| dc.date.issued | 2002 | en_US |
| dc.identifier.other | AAINQ75711 | en_US |
| dc.identifier.uri | http://hdl.handle.net/10222/55863 | |
| dc.description | We investigate the possibility that dividends and earnings per share contain enough information to explain the time-varying risk premium in foreign exchange markets. | en_US |
| dc.description | In the context of a model of foreign exchange determination, we show using GMM estimation, that dividend based stochastic discount factors are a better measure of households' intertemporal marginal rate of substitution than consumption based discount factors. An earnings based discount factor performs better than both dividend and consumption based discount factors. | en_US |
| dc.description | We also use the calibration methodology to investigate the quantitative implications of the model based on US-Canadian data. While the earnings model increases the volatility of the risk premium relative to the consumption model, it does not account for the volatility and persistence in the data. | en_US |
| dc.description | Thesis (Ph.D.)--Dalhousie University (Canada), 2002. | en_US |
| dc.language | eng | en_US |
| dc.publisher | Dalhousie University | en_US |
| dc.publisher | | en_US |
| dc.subject | Economics, Finance. | en_US |
| dc.title | The sensitivity of exchange rate premia to consumption, dividends and earnings. | en_US |
| dc.type | text | en_US |
| dc.contributor.degree | Ph.D. | en_US |
