01745cas a2200241 a 4500 AALejournalIMF000335 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451845792 1018-5941 BD-DhAAL BD-DhAAL Giorgianni, Lorenzo. Foreign Exchange Risk Premium : Does Fiscal Policy Matter? Evidence From Italian Data / Lorenzo Giorgianni. Washington, D.C. : International Monetary Fund, 1997. 1 online resource (39 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students This paper challenges the conventional view that foreign exchange risk premiums are small, not volatile, and unrelated to macroeconomic variables. For the Italian lira (1987-94), unconditional risk premiums-constructed using survey data to measure exchange rate expectations-are found to be sizable (relative to the dimension of the forward premium), highly volatile (relative to the variability of the forward bias), and predictable. Estimation of structural models of the risk premium suggests that anticipated fiscal contractions in Italy and lower uncertainty about the future path of fiscal policy are associated with a lower risk premium on lira-denominated assets. Mode of access: Internet IMF Working Papers; Working Paper ; No. 1997/039 Full text available on IMF http://elibrary.imf.org/view/journals/001/1997/039/001.1997.issue-039-en.xml IMF e-Library