{"id":"https://openalex.org/W3009306380","doi":"https://doi.org/10.1007/s11079-020-09582-7","title":"The Present-Value Model of the Exchange Rate with a Persistently Time-Varying Risk Premium: Evidence from the Dollar-Yen Rate","display_name":"The Present-Value Model of the Exchange Rate with a Persistently Time-Varying Risk Premium: Evidence from the Dollar-Yen Rate","publication_year":2020,"publication_date":"2020-03-03","ids":{"openalex":"https://openalex.org/W3009306380","doi":"https://doi.org/10.1007/s11079-020-09582-7","mag":"3009306380"},"language":"en","primary_location":{"id":"doi:10.1007/s11079-020-09582-7","doi":"https://doi.org/10.1007/s11079-020-09582-7","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s11079-020-09582-7","pdf_url":null,"source":{"id":"https://openalex.org/S129650269","display_name":"Open Economies Review","issn_l":"0923-7992","issn":["0923-7992","1573-708X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-class-a","anvur-scientific","cwts-core","erih-plus","jufo-1","norway-1","poland-70","russia-white-list-2","vabb-shw"],"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Open Economies Review","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5005172767","display_name":"Makoto Shimizu","orcid":"https://orcid.org/0000-0003-0201-5815","observed_orcids":["https://orcid.org/0000-0003-0201-5815"]},"institutions":[{"id":"https://openalex.org/I83642850","display_name":"Tokyo International University","ror":"https://ror.org/01g9ekh39","country_code":"JP","type":"education","lineage":["https://openalex.org/I83642850"]}],"countries":["JP"],"is_corresponding":true,"raw_author_name":"Makoto Shimizu","raw_affiliation_strings":["Kawagoe, Japan","Tokyo International University, 1-13-1 Matoba-kita Saitama, Kawagoe, 3501197, Japan"],"raw_orcid":"https://orcid.org/0000-0003-0201-5815","affiliations":[{"raw_affiliation_string":"Kawagoe, Japan","institution_ids":[]},{"raw_affiliation_string":"Tokyo International University, 1-13-1 Matoba-kita Saitama, Kawagoe, 3501197, Japan","institution_ids":["https://openalex.org/I83642850"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5005172767"],"corresponding_institution_ids":["https://openalex.org/I83642850"],"apc_list":{"value":2750,"currency":"USD","value_usd":2750},"apc_paid":null,"fwci":0.6862,"has_fulltext":false,"cited_by_count":2,"citation_normalized_percentile":{"value":0.75012058,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":87,"max":93},"biblio":{"volume":"31","issue":"5","first_page":"1037","last_page":"1059"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.8720999956130981,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.8720999956130981,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10503","display_name":"Global Financial Crisis and Policies","score":0.06909999996423721,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.03909999877214432,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/currency-risk-premium","display_name":"currency risk premium","score":0.9079999923706055},{"id":"https://openalex.org/keywords/time-varying-risk-premia","display_name":"time-varying risk premia","score":0.9589999914169312},{"id":"https://openalex.org/keywords/yen-dollar-exchange-rate","display_name":"yen-dollar exchange rate","score":0.9179999828338623},{"id":"https://openalex.org/keywords/interest-rate-differentials","display_name":"interest rate differentials","score":0.8550000190734863},{"id":"https://openalex.org/keywords/exchange-rate-expectations","display_name":"exchange rate expectations","score":0.9539999961853027}],"concepts":[{"id":"https://openalex.org/C2776988154","wikidata":"https://www.wikidata.org/wiki/Q66100","display_name":"Exchange rate","level":2,"score":0.8164565563201904},{"id":"https://openalex.org/C82843974","wikidata":"https://www.wikidata.org/wiki/Q205231","display_name":"Interest rate parity","level":3,"score":0.7838973999023438},{"id":"https://openalex.org/C151541453","wikidata":"https://www.wikidata.org/wiki/Q523022","display_name":"Risk premium","level":2,"score":0.7701269388198853},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.7558698654174805},{"id":"https://openalex.org/C115273593","wikidata":"https://www.wikidata.org/wiki/Q11679922","display_name":"Covered interest arbitrage","level":4,"score":0.7338144779205322},{"id":"https://openalex.org/C165705269","wikidata":"https://www.wikidata.org/wiki/Q1542397","display_name":"Foreign exchange risk","level":3,"score":0.6209350228309631},{"id":"https://openalex.org/C136236421","wikidata":"https://www.wikidata.org/wiki/Q361213","display_name":"International Fisher effect","level":5,"score":0.6076490879058838},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5228902697563171},{"id":"https://openalex.org/C128263813","wikidata":"https://www.wikidata.org/wiki/Q6588953","display_name":"Forward rate","level":3,"score":0.4909093976020813},{"id":"https://openalex.org/C175025494","wikidata":"https://www.wikidata.org/wiki/Q179179","display_name":"Interest rate","level":2,"score":0.4880160391330719},{"id":"https://openalex.org/C2776291640","wikidata":"https://www.wikidata.org/wiki/Q2912517","display_name":"Value (mathematics)","level":2,"score":0.4672275483608246},{"id":"https://openalex.org/C93226319","wikidata":"https://www.wikidata.org/wiki/Q193137","display_name":"Differential (mechanical device)","level":2,"score":0.44140586256980896},{"id":"https://openalex.org/C109168655","wikidata":"https://www.wikidata.org/wiki/Q242988","display_name":"Liberian dollar","level":2,"score":0.4403132200241089},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.43397772312164307},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.3562091290950775},{"id":"https://openalex.org/C154815372","wikidata":"https://www.wikidata.org/wiki/Q1140421","display_name":"Real interest rate","level":3,"score":0.3269503712654114},{"id":"https://openalex.org/C113679137","wikidata":"https://www.wikidata.org/wiki/Q10495747","display_name":"Fisher hypothesis","level":4,"score":0.21841922402381897},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.09832313656806946},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.09784868359565735},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.0},{"id":"https://openalex.org/C146978453","wikidata":"https://www.wikidata.org/wiki/Q3798668","display_name":"Aerospace engineering","level":1,"score":0.0},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1007/s11079-020-09582-7","doi":"https://doi.org/10.1007/s11079-020-09582-7","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s11079-020-09582-7","pdf_url":null,"source":{"id":"https://openalex.org/S129650269","display_name":"Open Economies Review","issn_l":"0923-7992","issn":["0923-7992","1573-708X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-class-a","anvur-scientific","cwts-core","erih-plus","jufo-1","norway-1","poland-70","russia-white-list-2","vabb-shw"],"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Open Economies Review","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:kap:openec:v:31:y:2020:i:5:d:10.1007_s11079-020-09582-7","doi":null,"is_oa":false,"landing_page_url":"http://link.springer.com/10.1007/s11079-020-09582-7","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":25,"referenced_works":["https://openalex.org/W1499244272","https://openalex.org/W1947492870","https://openalex.org/W2011323549","https://openalex.org/W2103415972","https://openalex.org/W2107751926","https://openalex.org/W2116201253","https://openalex.org/W2122298188","https://openalex.org/W2123518587","https://openalex.org/W2152276078","https://openalex.org/W2164270691","https://openalex.org/W2288210801","https://openalex.org/W2298337368","https://openalex.org/W2582067892","https://openalex.org/W2600196196","https://openalex.org/W2788450500","https://openalex.org/W2789361766","https://openalex.org/W2937235655","https://openalex.org/W2954757379","https://openalex.org/W3121900164","https://openalex.org/W3122477046","https://openalex.org/W3124890571","https://openalex.org/W3124949184","https://openalex.org/W3125017137","https://openalex.org/W3125987848","https://openalex.org/W3126112632"],"related_works":["https://openalex.org/W2582067892","https://openalex.org/W1519199910","https://openalex.org/W4416530364","https://openalex.org/W1510798649","https://openalex.org/W68263063","https://openalex.org/W3177628277","https://openalex.org/W2100954611","https://openalex.org/W1860034141","https://openalex.org/W7131632216","https://openalex.org/W1973749475"],"abstract_inverted_index":null,"counts_by_year":[{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":1}],"updated_date":"2026-10-14T16:39:01.820549","created_date":"2020-03-13T00:00:00"}
