Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Download International Arbitrage Pricing Risk Premia And Exchange Rate Drift full books in PDF, epub, and Kindle. Read online International Arbitrage Pricing Risk Premia And Exchange Rate Drift ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Author : Dana R. Clyman
Publisher :
ISBN 13 :
Total Pages : 31 pages
Book Rating : 4.:/5 (282 download)
Download or read book International Arbitrage Pricing, Risk Premia and Exchange Rate Drift written by Dana R. Clyman and published by . This book was released on 1991 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Piet M. A. Eichholtz
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book International Arbitrage Pricing with Unrestricted Currency Factors written by Piet M. A. Eichholtz and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: A further generalization of the international version of the Arbitrage Pricing Theory is presented in this paper. The traditional model of Solnik (1983) and the modification by Ikeda (1991) are extended in such a way that the factor structure of assets and exchange rates are numeraire independent from the viewpoint of every investor. The assumptions of the resulting model are considerably less strict with respect to exchange rate behavior than was the case in previous models. Our model explicitly takes into account risk premia in exchange rates.
Author : Bernard Dumas
Publisher :
ISBN 13 :
Total Pages : 64 pages
Book Rating : 4.:/5 (318 download)
Download or read book The World Price of Foreign Exchange Risk written by Bernard Dumas and published by . This book was released on 1993 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: We consider a world capital market in which the investor population is heterogenous. Investors of different countries differ in the prices of goods at which they consume the income from their investments. In such a setting, the international CAPM incorporates rewards for exchange rate risk, in addition to the traditional reward for market-covariance risk. The aim of the paper is to determine whether these additional risk premia empirically playa significant role in the pricing of securities. The test being conducted is a test of a conditional version of the CAPM. It builds on the recent empirical literature which points out that stock market returns may, to some extent, be predicted on the basis of a number of instrumental variables, such as interest rates and dividend yields. All previous tests of the international CAPM with exchange risk premia have been tests of the unconditional version and have been inconclusive.
Author : Ross Levine
Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.:/5 ( download)
Download or read book An International Arbitrage Pricing Model with PPP Deviations written by Ross Levine and published by . This book was released on 1986 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Wellappuli A. Abeysekera
Publisher :
ISBN 13 :
Total Pages : 117 pages
Book Rating : 4.:/5 (632 download)
Download or read book International arbitrage pricing theory written by Wellappuli A. Abeysekera and published by . This book was released on 1985 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Cesare Robotti
Publisher :
ISBN 13 :
Total Pages : 54 pages
Book Rating : 4.E/5 ( download)
Download or read book The Price of Inflation and Foreign Exchange Risk in International Equity Markets written by Cesare Robotti and published by . This book was released on 2001 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Chu-Sheng Tai
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
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.
Author : Michael Kumhof
Publisher : International Monetary Fund
ISBN 13 :
Total Pages : 50 pages
Book Rating : 4.:/5 (318 download)
Download or read book A Fiscal Theory of the Currency Risk Premium and of Sterilized Intervention written by Michael Kumhof and published by International Monetary Fund. This book was released on 2002-02 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops a dynamic stochastic general equilibrium monetary portfolio choice model that accomplishes two objectives. First, it provides a theory of currency risk premia based on a weak and plausible form of fiscal nonneutrality. Domestic and foreign bonds become imperfect substitutes, the uncovered interest parity condition is replaced with a portfolio balance equation, and the central bank can separately choose the growth rate of its nominal anchor and the domestic bond interest rate. Second, it can turn be shown that, and how, sterilized intervention affects equilibrium allocations and prices.
Author : Adam S. Iqbal
Publisher :
ISBN 13 : 9783030935566
Total Pages : 0 pages
Book Rating : 4.9/5 (355 download)
Download or read book Foreign Exchange written by Adam S. Iqbal and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This book provides an exhaustive and even-handed review of the existing literature on exchange rate determination, along with a raft of fresh insights. The author provides a unique marriage of academic precision with an investor's practical experience to deliver a rigorous yet intuitive application of asset-pricing theory to foreign exchange. Foreign Exchange: Practical Asset Pricing and Macroeconomic Theory should become the canonical text on this subject." -Nick Wilson, FX Portfolio Manager, Citadel "This new book is a treasure trove. Iqbal presents a practical and useful framework that includes various macroeconomic and monetary economic concepts relating to foreign exchange, such as risk premiums, interest rates, and inflation. Many real-world examples illustrate how these concepts relate to each other. I have enjoyed reading every page of this book and I strongly recommend it to academics, students, and indeed, anybody interested in how foreign exchange markets interact with macroeconomics." -Johannes Ruf, Professor, London School of Economics "Iqbal's Foreign Exchange diligently captures the intuition behind risk premia in FX markets and their theoretical underpinnings, whilst also being practically relevant for the reader. This book is an important and much needed foundational text for students, researchers, and practitioners alike who want to truly understand foreign exchange markets, their drivers and uncertainties, be it from risk premiums, macroeconomic, or monetary economic sources." -Dr. Farouk Jivraj, Head of Alternative Risk Premia, Fidelity Investments "In an age when foreign exchange has increasingly become the turf of high frequency algo traders rather than fundamental investors, Adam Iqbal's book provides an excellent and comprehensive overview of an asset class that, given the rising macro-economic volatility, is likely to regain its characteristics as prime instrument for hedging and thematic macro expression. By approaching foreign exchange via the risk premium conceptual framework, Adam is equipping the reader to identify dislocations and opportunities in a rapidly changing world. With the right balance of theory and practice, Foreign Exchange: Practical Asset Pricing and Macroeconomic Theory is accessible and should be of interest to both academic and professional readers." -Borislav Vladimirov, Managing Director, Macro Strategist, Goldman Sachs.
Author : Jaeyoung Sung
Publisher :
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.:/5 (129 download)
Download or read book Jump-Diffusion International Asset Pricing with Nontraded Consumption Goods written by Jaeyoung Sung and published by . This book was released on 2008 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: We present a jump-diffusion international asset pricing model with stochastic exchange rates and inflation rates when investors consume both traded and nontraded goods. We argue that in general, the Adler-Dumas inflation rate differential may not fully capture PPP deviation risks, unless all volatilities, drift rates and jumps rates of PPP deviations/excchange rates are constant. The structure of optimal portfolios for investors from different countries reveals that country-specific demand for risky assets can arise from two sources of risks: PPP-deviation risks and nontraded-good-specific inflation-rate-differential risks. Consequently, equilibrium asset returns can be expressed in a multi-beta linear asset pricing model with a number of benchmark portfolios including hedge portfolios for PPP deviation risks and nontraded-good-specific inflation rate risks. The optimal portfolio structure further reveals that even if jump risks were added to otherwise pure diffusion assets in a no-jump world, investors' existing optimal portfolios of risky assets wouldn't change. We also note that risk premia on PPP deviation risks can be positive, zero, or even negative, that in the presence of inflation risks, hedging against exchange rate risks in isolation can sometimes make the investor's real wealth riskier than no hedging at all, and that a global investor optimally increases his consumption in both traded and nontraded goods as the price of the traded good of his own country increases.
Author : R.A. Jarrow
Publisher : Elsevier
ISBN 13 : 9780444890849
Total Pages : 1204 pages
Book Rating : 4.8/5 (98 download)
Download or read book Finance written by R.A. Jarrow and published by Elsevier. This book was released on 1995-12-15 with total page 1204 pages. Available in PDF, EPUB and Kindle. Book excerpt: Hardbound. The Handbook of Finance is a primary reference work for financial economics and financial modeling students, faculty and practitioners. The expository treatments are suitable for masters and PhD students, with discussions leading from first principles to current research, with reference to important research works in the area. The Handbook is intended to be a synopsis of the current state of various aspects of the theory of financial economics and its application to important financial problems. The coverage consists of thirty-three chapters written by leading experts in the field. The contributions are in two broad categories: capital markets and corporate finance.
Author : Robert A. Korajczyk
Publisher : World Bank Publications
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4./5 ( download)
Download or read book A Measure of Stock Market Integration for Developed and Emerging Markets written by Robert A. Korajczyk and published by World Bank Publications. This book was released on 1995 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Oliver Boguth
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.:/5 (13 download)
Download or read book Levered Noise and the Limits of Arbitrage Pricing written by Oliver Boguth and published by . This book was released on 2019 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: We show theoretically and empirically that no-arbitrage pricing magnifies the importance of noise when replication requires offsetting positions with similar fundamentals. This occurs because fundamentals are hedged, while any errors in the underlying asset prices are levered and amplified. Levered noise causes bias in estimated return moments including means, variances, and autocorrelations. We illustrate these effects in pairs trading strategies and in the highly levered portfolios required to replicate dividend strips. To improve estimates of the term structure of equity risk premia, we develop replication methods that reduce noise, focus on statistics that are more robust to noise, and provide time series that are longer than any prior study. The improved estimates provide no evidence of a downward sloping unconditional equity term structure. In the longest samples, dividend strip returns are lower than the market index.
Author : Dmitrij S. Borisneko
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (18 download)
Download or read book Three Essays on International Finance written by Dmitrij S. Borisneko and published by . This book was released on 2019 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis contributes to three major fields in the international finance literature: forward premium anomaly, monetary policy and exchange rate determination, and measuring monetary policy expectations from asset prices. In the first chapter, I develop a production-based asset pricing model predicting that excess returns of currency carry trade compensate investors for the commodity price risk. Commodity producers differ in their exposure to the export price risk. Exchange rate-commodity price covariance, procyclical interest rates, negative price of exchange rate volatility, and countercyclical currency risk premium arise endogenously. Empirically, risk factors implied by the model explain up to 55% of time-series variation in carry trade returns across developed countries, and generate substantial risk- and transaction costs-adjusted returns as tradable strategies. In the second chapter (jointly with Igor Pozdeev), we document a drift in exchange rates before monetary policy changes across major economies. Currencies tend to depreciate by 0.8% over ten days before policy rate cuts and appreciate by 0.5% before policy rate increases. We show that available fixed income instruments allow to forecast monetary policy decisions and thus that the drift is exploitable by investors. Buying (selling) currencies ten days in advance of predicted target rate hikes (cuts) earns on average a statistically significant excess return of over 40 basis points per ten-day period after trading costs. We further demonstrate that this return is robust to the choice of holding horizon and monetary policy forecast rule. Our results thus pose a major challenge for the risk-based explanations of the exchange rate dynamics. In the third chapter (jointly with Igor Pozdeev), we document overnight index swaps (OIS) to be unbiased predictors of future short rates in developed economies, bearing no significant risk premium for maturities up to one year. We.
Author : Dmitrij S. Borisneko
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (18 download)
Download or read book Three Essays on International Finance written by Dmitrij S. Borisneko and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis contributes to three major fields in the international finance literature: forward premium anomaly, monetary policy and exchange rate determination, and measuring monetary policy expectations from asset prices. In the first chapter, I develop a production-based asset pricing model predicting that excess returns of currency carry trade compensate investors for the commodity price risk. Commodity producers differ in their exposure to the export price risk. Exchange rate-commodity price covariance, procyclical interest rates, negative price of exchange rate volatility, and countercyclical currency risk premium arise endogenously. Empirically, risk factors implied by the model explain up to 55% of time-series variation in carry trade returns across developed countries, and generate substantial risk- and transaction costs-adjusted returns as tradable strategies. In the second chapter (jointly with Igor Pozdeev), we document a drift in exchange rates before monetary policy changes across major economies. Currencies tend to depreciate by 0.8% over ten days before policy rate cuts and appreciate by 0.5% before policy rate increases. We show that available fixed income instruments allow to forecast monetary policy decisions and thus that the drift is exploitable by investors. Buying (selling) currencies ten days in advance of predicted target rate hikes (cuts) earns on average a statistically significant excess return of over 40 basis points per ten-day period after trading costs. We further demonstrate that this return is robust to the choice of holding horizon and monetary policy forecast rule. Our results thus pose a major challenge for the risk-based explanations of the exchange rate dynamics. In the third chapter (jointly with Igor Pozdeev), we document overnight index swaps (OIS) to be unbiased predictors of future short rates in developed economies, bearing no significant risk premium for maturities up to one year. We.
Author : Romain Lafarguette
Publisher : International Monetary Fund
ISBN 13 : 1513569406
Total Pages : 33 pages
Book Rating : 4.5/5 (135 download)
Download or read book Foreign Exchange Intervention Rules for Central Banks: A Risk-based Framework written by Romain Lafarguette and published by International Monetary Fund. This book was released on 2021-02-12 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a rule for foreign exchange interventions (FXI), designed to preserve financial stability in floating exchange rate arrangements. The FXI rule addresses a market failure: the absence of hedging solution for tail exchange rate risk in the market (i.e. high volatility). Market impairment or overshoot of exchange rate between two equilibria could generate high volatility and threaten financial stability due to unhedged exposure to exchange rate risk in the economy. The rule uses the concept of Value at Risk (VaR) to define FXI triggers. While it provides to the market a hedge against tail risk, the rule allows the exchange rate to smoothly adjust to new equilibria. In addition, the rule is budget neutral over the medium term, encourages a prudent risk management in the market, and is more resilient to speculative attacks than other rules, such as fixed-volatility rules. The empirical methodology is backtested on Banco Mexico’s FXIs data between 2008 and 2016.
Author : John Y. Campbell
Publisher : University of Chicago Press
ISBN 13 : 0226092127
Total Pages : 444 pages
Book Rating : 4.2/5 (26 download)
Download or read book Asset Prices and Monetary Policy written by John Y. Campbell and published by University of Chicago Press. This book was released on 2008-11-15 with total page 444 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economic growth, low inflation, and financial stability are among the most important goals of policy makers, and central banks such as the Federal Reserve are key institutions for achieving these goals. In Asset Prices and Monetary Policy, leading scholars and practitioners probe the interaction of central banks, asset markets, and the general economy to forge a new understanding of the challenges facing policy makers as they manage an increasingly complex economic system. The contributors examine how central bankers determine their policy prescriptions with reference to the fluctuating housing market, the balance of debt and credit, changing beliefs of investors, the level of commodity prices, and other factors. At a time when the public has never been more involved in stocks, retirement funds, and real estate investment, this insightful book will be useful to all those concerned with the current state of the economy.
