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Foreign Exchange Market Risk Premia With Time Nonseparable And Time Varying Risk Preferences
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Book Synopsis Foreign exchange market risk premia with time-nonseparable and time-varying risk preferences. /..., Kodjovi G. Assoe by : Minh Chau To
Download or read book Foreign exchange market risk premia with time-nonseparable and time-varying risk preferences. /..., Kodjovi G. Assoe written by Minh Chau To and published by . This book was released on 1993 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :Assoé, Kodjovi G Publisher :Montréal : École des hautes études commerciales, Centre d'études en administration internationale ISBN 13 : Total Pages :66 pages Book Rating :4.:/5 (39 download)
Book Synopsis Foreign Exchange Market Risk Premia with Time-nonseparable and Time-varying Risk Preferences by : Assoé, Kodjovi G
Download or read book Foreign Exchange Market Risk Premia with Time-nonseparable and Time-varying Risk Preferences written by Assoé, Kodjovi G and published by Montréal : École des hautes études commerciales, Centre d'études en administration internationale. This book was released on 1993 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Time-variation of Risk and Return in the Foreign Exchange and Stock Markets by : Alberto Giovannini
Download or read book The Time-variation of Risk and Return in the Foreign Exchange and Stock Markets written by Alberto Giovannini and published by . This book was released on 1988 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent empirical work indicates that, in a variety of financial markets, both conditional expectations and conditional variances of returns are time- varying. The purpose of this paper is to determine whether these joint fluctuations of conditional first and second moments are consistent with the Sharpe-Lintner-Mossin capital-asset-pricing model. We test the mean-variance model under several different assumptions about the time-variation of conditional second moments of returns, using weekly data from July 1974 to December 1986, that include returns on a portfolio composed of dollar, Deutsche mark, Sterling, and Swiss franc assets, together with the US stock market. The model is estimated constraining risk premia to depend on the time-varying conditional covariance matrix of the residuals of the expected returns equations. The results indicate that estimated conditional variances cannot explain the observed time-variation of risk premia. Furthermore, the constraints imposed by the static CAPH are always rejected.
Book Synopsis Time-Varying Risk Premia in Foreign Exchange and Equity Markets by : Chu-Sheng Tai
Download or read book Time-Varying Risk Premia in Foreign Exchange and Equity Markets written by Chu-Sheng Tai and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: One of the puzzles in international finance literature is the deviations from Uncovered Interest Parity (UIP). In this paper, I further examine the validity of the risk premia hypothesis in explaining this puzzle by testing a conditional international CAPM (ICAPM) in the absence of Purchasing Power Parity (PPP) using data from both foreign exchange and equity markets in Asia-Pacific countries. When considering foreign exchange markets only, I find that conditional variances are not related to the deviations from UIP in any statistical sense based on an univariate GARCH(1,1)-M model. However, as I consider both foreign exchange and equity markets together and test the conditional ICAPM in the absence of PPP, I can not reject the model based on the J-test by Hansen (Econometrica 50 (1982), 1029-1054), and find significant time-varying market and foreign exchange risk premia presented in the data. This empirical evidence supports the notion of time-varying risk premia in explaining the deviations from UIP. It also supports the idea that the foreign exchange risk is not diversifiable and hence should be priced in both markets.Key Words: International asset pricing, Uncovered interest parity, Time-varying risk premium, GARCH, GMM.
Book Synopsis Time-varying Risk Premia in Forward Foreign Exchange Markets and Conditional Heteroskedasticity by : William Dean Lastrapes
Download or read book Time-varying Risk Premia in Forward Foreign Exchange Markets and Conditional Heteroskedasticity written by William Dean Lastrapes and published by . This book was released on 1986 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Risk Premia in Foreign Exchange Markets by : Wen-he Lu
Download or read book Risk Premia in Foreign Exchange Markets written by Wen-he Lu and published by . This book was released on 1986 with total page 130 pages. Available in PDF, EPUB and Kindle. Book excerpt: We have attempted to test the existence of time-varying risk premia in foreign exchange markets under two models that we have developed in this dissertation. This first one is an extension to Lucas's general equilibrium model of international finance. By assumption of the Cobb- Douglas utility function of the consumers we are able to derive a closed form for the risk premia in the foreign exchange markets on the setting of a two-country economy model. We used White's test and Engle's test for homoscedasticity and used White's heteroscedasticity-consistent variance-covariance matrix to derive the correct standard errors. The time varying risk premium is tested jointly with the efficiency of the foreign exchange market, i.e., whether the forward exchange rates are unbiased predictors of the future spot exchange rates. The empirical findings indicate that the notion of market efficiency is rejected and there is no risk premium for any of the three cases we studied. In the monetary approach, however, we test the existence of time- varying risk premia alone. By PPP and an extension to the uncovered interest parity we introduced the risk premia into our monetary approach to foreign exchange rate determination. The forward premium is used as a driving force of the risk premium. A rational expectation hypothesis is made and the forward solution derived. Since it is a non-linear single equation model and there is evidence of heteroscedasticity we used GMM estimators and the corresponding variance-covariance matrix and found that there is constant risk premia in the case of Germany and Japan but not in the case of Canada. We also did an empirical study of monetary model with the formation of risk premium derived before. The findings we have is that there is time-varying risk premium in the case of Germany but not in the cases of Japan and Canada. Since our monetary model relaxes the restriction imposed on the semi-elasticity of interest rate the empirical results are based on a more general setting than most of the monetary models of foreign exchange rates. The conflicting empirical results from the two attempts are attributed to the different setting of the models. Extensions to the current data will test whether the conclusion we have drawn is valid.
Book Synopsis Time-varying Risk Premium in the Foreign Exchange Market by : Pamela H. Chang
Download or read book Time-varying Risk Premium in the Foreign Exchange Market written by Pamela H. Chang and published by . This book was released on 1992 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Financial Markets and the Real Economy by : John H. Cochrane
Download or read book Financial Markets and the Real Economy written by John H. Cochrane and published by Now Publishers Inc. This book was released on 2005 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.
Book Synopsis Time-varying Risk Premia, Sources of Macroeconomic Risk, and Aggregate Stock Market Behavior by : Massimiliano De Santis
Download or read book Time-varying Risk Premia, Sources of Macroeconomic Risk, and Aggregate Stock Market Behavior written by Massimiliano De Santis and published by . This book was released on 2005 with total page 334 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Modelling Time - Varying Risk Premia in the Forward Exchange Market by : Jan Annaert
Download or read book Modelling Time - Varying Risk Premia in the Forward Exchange Market written by Jan Annaert and published by . This book was released on 1999 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis On the Time Variation of the Market Risk Premium by : Stewart D. Hodges
Download or read book On the Time Variation of the Market Risk Premium written by Stewart D. Hodges and published by . This book was released on 2002 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: Motivated by the empirical observation that there exists some degree of predictability in asset returns, this paper investigates the theoretical constraints on the time variation in the risk premia of the market portfolio in a continuous-time, finite horizon pure exchange economy. By characterizing the equilibrium conditions as nonlinear partial differential equations, closed-form solutions can be obtained. It is shown that in a stationary economy, the presence of intermediate consumption can have a drastic effect on the possible kinds of time-varying behaviour of the risk premia.
Book Synopsis Can a Time Varying Risk Premium Explain the Failure of Uncovered Interest Party in the Market for Foreign Exchange by : Hopper
Download or read book Can a Time Varying Risk Premium Explain the Failure of Uncovered Interest Party in the Market for Foreign Exchange written by Hopper and published by . This book was released on 1992 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis From Time Varying Risk-aversion and Sentiment to Anomalies in Market Moments' Risk Premia by : Dennis Bams
Download or read book From Time Varying Risk-aversion and Sentiment to Anomalies in Market Moments' Risk Premia written by Dennis Bams and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Risk Premia in Forward Foreign Exchange Markets by : Prasad V. Bidarkota
Download or read book Risk Premia in Forward Foreign Exchange Markets written by Prasad V. Bidarkota and published by . This book was released on 2004 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate time varying risk premia in forward dollar/pound monthly exchange rates over the last two decades. We study this issue using a signal plus noise model and separately using regression techniques. Our models account for time varying volatility and non-normalities in the observed series. Our signal plus noise model fails to isolate a statistically significant risk premium component whereas our regression model does. We attribute the discrepancy in the results from the two methods to the low power of the signal plus noise model in discriminating between a time varying risk premium component and a serially uncorrelated spot exchange rate expectational error. An important reason for the low power of the signal plus noise model is its failure to use information on current period forward rates in extracting the risk premium.
Book Synopsis Estimation of Time-varying Risk Premia on Stock Market Indices and Exchange Rates Pricing Macroeconomic Variables by :
Download or read book Estimation of Time-varying Risk Premia on Stock Market Indices and Exchange Rates Pricing Macroeconomic Variables written by and published by . This book was released on 2004 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Can a Time-varying Risk Premium Explain the Failure of Uncovered Interest Parity in the Market for Foreign Exchange? by : Gregory P. Hopper
Download or read book Can a Time-varying Risk Premium Explain the Failure of Uncovered Interest Parity in the Market for Foreign Exchange? written by Gregory P. Hopper and published by . This book was released on 1992 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Two Essays on Time-varying Risk Premia and Trading Rule Profits by : Bong-Chan Kho
Download or read book Two Essays on Time-varying Risk Premia and Trading Rule Profits written by Bong-Chan Kho and published by . This book was released on 1994 with total page 320 pages. Available in PDF, EPUB and Kindle. Book excerpt:
