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Author : Tigran Poghosyan
Publisher :
ISBN 13 : 9788073440831
Total Pages : 37 pages
Book Rating : 4.4/5 (48 download)
Download or read book Foreign Exchange Risk Premium Determinants written by Tigran Poghosyan and published by . This book was released on 2006 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mr.Tigran Poghosyan
Publisher : International Monetary Fund
ISBN 13 : 1455209554
Total Pages : 26 pages
Book Rating : 4.4/5 (552 download)
Download or read book Determinants of the Foreign Exchange Risk Premium in Gulf Cooperation Council Countries written by Mr.Tigran Poghosyan and published by International Monetary Fund. This book was released on 2010-11-01 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes macroeconomic determinants of the foreign exchange risk premium in two Gulf Cooperation Council (GCC) countries that peg their currencies to the U.S. dollar: Saudi Arabia and the United Arab Emirates. The analysis is based on the stochastic discount factor methodology, which imposes a no arbitrage condition on the relationship between the foreign exchange risk premium and its macroeconomic determinants. Estimation results suggest that U.S. inflation and consumption growth are important factors driving the risk premium, which is in line with the standard C-CAPM model. In addition, growth in international oil prices influences the risk premium, reflecting the important role played by the hydrocarbon sector in GCC economies. The methodology employed in this paper can be used for forecasting the risk premium on a monthly basis, which has important practical implications for policymakers interested in the timely monitoring of risks in the GCC.
Author : Guillermo Benavides
Publisher :
ISBN 13 :
Total Pages : 43 pages
Book Rating : 4.:/5 (13 download)
Download or read book Exchange Rate Risk Premium written by Guillermo Benavides and published by . This book was released on 2016 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: The objective of this paper is to analyze what are the main determinants of the exchange rate risk premium (ERP). The empirical case is conducted for the daily Mexican peso-USD for a simple period from 2007 until 2015. According to the results the ERP is influenced by several financial variables which are the VIX, a carry trade index, the EMBI and the forward premium. These results are in line with previous results in the literature that have proven that exchange rate premium are influenced by several financial variables, which are usually considered as 'proxies' of risk.
Author :
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Working Paper No. 06/16 - Foreign Exchange Risk Premium Determinants written by and published by . This book was released on with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Foreign Exchange Risk Premium written by and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : John A. Carlson
Publisher :
ISBN 13 :
Total Pages : 42 pages
Book Rating : 4.:/5 (129 download)
Download or read book Determinants of Currency Risk Premiums written by John A. Carlson and published by . This book was released on 2006 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a theoretical model of exchange-rate determination intended to address the forward premium puzzle. It also explains the empirical observation that risk premiums depend on interest differentials. The model's closed-form solution indicates that currency risk premiums depend on two factors: interest differentials and the current deviation of the exchange rate from its long-run equilibrium. If speculators have an alternative to exchange-rate speculation, then there is no presumption that uncovered interest parity holds even approximately in long-run equilibrium. The model is consistent with existing evidence suggesting that forward premiums are negatively related to rationally expected future exchange rate changes. New empirical evidence is provided in support of the model.
Author : Mr.Lorenzo Giorgianni
Publisher : International Monetary Fund
ISBN 13 : 1451845790
Total Pages : 40 pages
Book Rating : 4.4/5 (518 download)
Download or read book Foreign Exchange Risk Premium written by Mr.Lorenzo Giorgianni and published by International Monetary Fund. This book was released on 1997-04-01 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Author : Sergio L. Schmukler
Publisher :
ISBN 13 :
Total Pages : 88 pages
Book Rating : 4.:/5 (318 download)
Download or read book Pricing Currency Risk written by Sergio L. Schmukler and published by . This book was released on 2002 with total page 88 pages. Available in PDF, EPUB and Kindle. Book excerpt: Hard pegs, such as currency boards, intend to reduce or even eliminate currency risk. This paper investigates the patterns and determinants of the currency risk premium in two currency boards -- Argentina and Hong Kong. Despite the presumed rigidity of currency boards, the currency premium is almost always positive and at times very large. Its term structure is usually upward sloping, but flattens out or even becomes inverted at times of turbulence. Currency premia differ across markets. The forward discount typically exceeds the currency premium derived from interbank rates, particularly during crisis times. The large magnitude of these cross-market differences can be the consequence of unexploited arbitrage opportunities, market segmentation, or other risks embedded in typical measures of currency risk. The premium and its term structure depend on domestic and global factors, related to devaluation expectations and risk perceptions.
Author : Lynne Evans
Publisher :
ISBN 13 :
Total Pages : 19 pages
Book Rating : 4.:/5 (129 download)
Download or read book Foreign Exchange Risk Premia and Welfare in a Stochastic Small Open Economy Model written by Lynne Evans and published by . This book was released on 2001 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper constructs a stochastic general equilibrium model of a small open economy consisting of risk-averse optimising agents with unconventional preferences. We use this model (i) to analyze the determinants of the foreign exchange rate risk premium; (ii) to explore the importance of unconventional preferences for the foreign exchange rate risk premium; and (iii) to conduct a numerical analaysis of the forex risk premium. Our model is distinguished from many of those in the literature by a number of features. Firstly, our dynamic general equilibrium model incorporates portfolio choice thereby giving rise to an integrated analysis of exchange rate determination with a risk-adjusted PPP and portfolio equilibrium. Secondly, the model includes a recursive utility function that disentangles risk aversion from intertemporal substitution thereby enabling an analysis of the distinct roles played by agents' attitudes towards risk and intertemporal substitution. Thirdly, in preference to using a two-country model, we specifically model a small open economy which takes the world interest rate as given. Fourthly, we have an exact stochastic model rather than the stochastic approximations (through Markov chains) more commonly adopted in the literature; and, fifthly, the model is constructed in continuous, not discrete, time. We find that the equilibrium forex risk premium is a function of exogenous shocks in the model and is sensitive to assumed attitudes towards risk and intertemporal substitution. Furthermore, taking plausible values for the preference parameters, together with other data-driven parameter values, the model generates a value for the forex risk premium which is close to that found in the data.
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Author : Li Cui
Publisher : Ann Arbor, Mich. : University Microfilms International
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (451 download)
Download or read book The Forward Risk Premium, Demand for Money, and International Financial Markets [microform] written by Li Cui and published by Ann Arbor, Mich. : University Microfilms International. This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis explores two aspects of international money and financial markets. First, I analyze the determinants of the foreign exchange forward risk premium. Second, I study the demand for money in different countries.
Author : Yakov Amihud
Publisher : Beard Books
ISBN 13 : 9781587981593
Total Pages : 268 pages
Book Rating : 4.9/5 (815 download)
Download or read book Exchange Rates and Corporate Performance written by Yakov Amihud and published by Beard Books. This book was released on 2003 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a reprint of a previously published book. It consists of a series of papers by experts in the field on how the exchange rate volatility of the 1980s affected the financial policies of international firms.
Author : Jerome Leon Stein
Publisher : Oxford University Press, USA
ISBN 13 :
Total Pages : 240 pages
Book Rating : 4.F/5 ( download)
Download or read book Fundamental Determinants of Exchange Rates written by Jerome Leon Stein and published by Oxford University Press, USA. This book was released on 1995 with total page 240 pages. Available in PDF, EPUB and Kindle. Book excerpt: It concentrates on the real exchange rate, and explains medium-to long-run movements in equilibrium real exchange rates in terms of fundamental variables: the productivity of capital and social (public plus private) thrift at home and abroad.
Author : William N. Goetzmann
Publisher : Oxford University Press
ISBN 13 : 0199881979
Total Pages : 568 pages
Book Rating : 4.1/5 (998 download)
Download or read book The Equity Risk Premium written by William N. Goetzmann and published by Oxford University Press. This book was released on 2006-11-16 with total page 568 pages. Available in PDF, EPUB and Kindle. Book excerpt: What is the return to investing in the stock market? Can we predict future stock market returns? How have equities performed over the last two centuries? The authors in this volume are among the leading researchers in the study of these questions. This book draws upon their research on the stock market over the past two dozen years. It contains their major research articles on the equity risk premium and new contributions on measuring, forecasting, and timing stock market returns, together with new interpretive essays that explore critical issues and new research on the topic of stock market investing. This book is aimed at all readers interested in understanding the empirical basis for the equity risk premium. Through the analysis and interpretation of two scholars whose research contributions have been key factors in the modern debate over stock market perfomance, this volume engages the reader in many of the key issues of importance to investors. How large is the premium? Is history a reliable guide to predict future equity returns? Does the equity and cash flows of the market? Are global equity markets different from those in the United States? Do emerging markets offer higher or lower equity risk premia? The authors use the historical performance of the world's stock markets to address these issues.
Author : Catherine Colette Busnardo
Publisher :
ISBN 13 :
Total Pages : 160 pages
Book Rating : 4.:/5 (943 download)
Download or read book The real and financial determinants of foreign exchange risk written by Catherine Colette Busnardo and published by . This book was released on 1982 with total page 160 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Hyunchul Chung
Publisher :
ISBN 13 :
Total Pages : 46 pages
Book Rating : 4.:/5 (13 download)
Download or read book Exchange Risk Premia and Firm Characteristics written by Hyunchul Chung and published by . This book was released on 2015 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the presence and the determinants of exchange risk premia in stock returns using firm level data from South Korea. We conduct empirical asset pricing tests based on cross-sectional data sorted by firm characteristics such as firm size, liquidity, foreign ownership, and industry. Using alternative model specifications and exchange rate measures, our results support the hypothesis of a significant unconditional exchange risk premium in the Korean stock market at firm and industry levels. More specifically, we find that the exchange risk premium is directly related to firm liquidity and inversely related to firm size and foreign ownership.
Author : Peter Isard
Publisher :
ISBN 13 :
Total Pages : 146 pages
Book Rating : 4.3/5 ( download)
Download or read book Factors Determining Exchange Rates written by Peter Isard and published by . This book was released on 1980 with total page 146 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Maria Vassalou
Publisher :
ISBN 13 :
Total Pages : 68 pages
Book Rating : 4.X/5 (6 download)
Download or read book Exchange Rate and Foreign Inflation Risk Premiums in Global Equity Returns written by Maria Vassalou and published by . This book was released on 2000 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:
