¿Afectan los regímenes de tipos de cambio a la prima de riesgo cambiario? Evidencias internacionales

This article analyzes the impact of the risk premium on exchange returns and the relationship between the risk premium and flexible exchange rate regimes. We use the GMM estimator proposed by Arellano and Bond (1991) on a sample of 21 countries between January 1997 and December 2015. Our results show that the time-varying exchange premium is concentrated in emerging markets and it generates a depreciation that ranges between 1.8% and 2.7% monthly. In developed markets, there is a constant exchange risk premium that promotes an appreciation of their currencies against the US dollar. These results reveal that the UIP and CIP are not fulfilled, although their bias is less in emerging countries. Exchange flexibility has dissimilar effects between developed and emerging countries. These results have important implications for policymakers and investors.