Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Download On Time Series Properties Of Time Varying Risk Premium In The Yen full books in PDF, epub, and Kindle. Read online On Time Series Properties Of Time Varying Risk Premium In The Yen ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Author : Fabio Canova
Publisher :
ISBN 13 :
Total Pages : 16 pages
Book Rating : 4.:/5 (465 download)
Download or read book On Time-series Properties of Time-varying Risk Premium in the Yen written by Fabio Canova and published by . This book was released on 1988 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Fabio Canova
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.:/5 (318 download)
Download or read book On Time-series Properties of Time-varying Risk Premium in the Yen/dollar Exchange Market written by Fabio Canova and published by . This book was released on 1988 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this paper is to characterize the changes in risk premium in the 1980s. A five-variable vector autoregressive model (VAR) is constructed to calculate a risk premium series in the foreign exchange market. The risk premium series is volatile and time-varying. The hypothesis of no risk premium is strongly rejected for the entire sample and each of the two subsamples considered. Various tests using the constructed risk premium series suggest that a risk premium existed but it was neither constant nor stable over subsamples and that its volatility was considerably reduced after October 1982.
Download or read book On Time-series Properties of Time-varying Risk Premium in the Yen/Dollar Exchange Market written by and published by . This book was released on 1988 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book On Time-Series Properties of Time-Varying Risk Premium in the Yen written by and published by . This book was released on 1991 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Benjamin M. Friedman
Publisher :
ISBN 13 :
Total Pages : 76 pages
Book Rating : 4.3/5 ( download)
Download or read book Time-varying Risk Perceptions and the Pricing of Risky Assets written by Benjamin M. Friedman and published by . This book was released on 1988 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt: Empirical results based on two different statistical approaches lead to several conclusions about the role of time-varying asset risk assessments in accounting for what, on the basis of many earlier studies, appear to be time-varying differentials in ex ante asset returns. First, both methods indicate sizeable changes over time in variance-covariance structures conditional on past information. These changing conditional variance-covariance structures in turn imply sizeable changes over time in asset demand behavior, and hence in the market-clearing equilibrium structure of ex ante asset returns. Second, at least for some values of the parameter indicating how rapidly investors discount the information contained in past observations, the implied ex ante excess returns bear non-negligible correlation to observed ex post excess returns on either debt or equity. The percentage of the variation of ex post excess returns explained by the implied time-varying ex ante excess returns is comparable to values to which previous researchers have interpreted as warranting rejection of the hypothesis that risk premia are constant over time. Third, although for long-term debt the two statistical methods used here give sharply different answers to the question of how much relevance market participants associate with past observations in assessing future risks, for equities both methods agree in indicating extremely rapid discounting of more distant observations -- so much so that in neither case do outcomes more than a year in the past matter much at all. While the paper's other conclusions are plausible enough, the finding of such an extremely short "memory" on the part of equity investors suggests that the standard representation of equity risk by a single normally distributed disturbance is overly restrictive
Author : Akhtar R. Siddique
Publisher :
ISBN 13 :
Total Pages : 34 pages
Book Rating : 4.:/5 (129 download)
Download or read book Time-Varying Conditional Skewness and the Market Risk Premium written by Akhtar R. Siddique and published by . This book was released on 2005 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: Single factor asset pricing models face two major hurdles: the problematic time-series properties of the ex ante market risk premium and the inability of the risk measure to account for a substantial degree of the cross-sectional variation of expected excess returns. We provide an explanation for the first failure using the following intuition: if investors know that the asset returns have conditional skewness given the information known today, the expected excess returns should include rewards for accepting skewness. We formalize this intuition with an asset pricing model which incorporates conditional skewness. We decompose the expected excess returns into components due to conditional variance and skewness. Our results show that conditional skewness is important and, when combined with the economy-wide reward for skewness, helps explain the time-variation of the ex ante market risk premiums. Conditional skewness has greater success in explaining the ex ante risk premium for the world portfolio than for the U.S. portfolio.
Author : Ronald MacDonald
Publisher : Springer Science & Business Media
ISBN 13 : 1475729979
Total Pages : 226 pages
Book Rating : 4.4/5 (757 download)
Download or read book Exchange Rate Modelling written by Ronald MacDonald and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 226 pages. Available in PDF, EPUB and Kindle. Book excerpt: Are foreign exchange markets efficient? Are fundamentals important for predicting exchange rate movements? What is the signal-to-ratio of high frequency exchange rate changes? Is it possible to define a measure of the equilibrium exchange rate that is useful from an assessment perspective? The book is a selective survey of current thinking on key topics in exchange rate economics, supplemented throughout by new empirical evidence. The focus is on the use of advanced econometric tools to find answers to these and other questions which are important to practitioners, policy-makers and academic economists. In addition, the book addresses more technical econometric considerations such as the importance of the choice between single-equation and system-wide approaches to modelling the exchange rate, and the reduced form versus structural equation problems. Readers will gain both a comprehensive overview of the way macroeconomists approach exchange rate modelling, and an understanding of how advanced techniques can help them explain and predict the behavior of this crucial economic variable.
Author : Christian Dunis
Publisher : Springer Science & Business Media
ISBN 13 : 1461543894
Total Pages : 345 pages
Book Rating : 4.4/5 (615 download)
Download or read book Advances in Quantitative Asset Management written by Christian Dunis and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 345 pages. Available in PDF, EPUB and Kindle. Book excerpt: Advances in Quantitative Asset Management contains selected articles which, for the most part, were presented at the `Forecasting Financial Markets' Conference. `Forecasting Financial Markets' is an international conference on quantitative finance which is held in London in May every year. Since its inception in 1994, the conference has grown in scope and stature to become a key international meeting point for those interested in quantitative finance, with the participation of prestigious academic and research institutions from all over the world, including major central banks and quantitative fund managers. The editor has chosen to concentrate on advances in quantitative asset management and, accordingly, the papers in this book are organized around two major themes: advances in asset allocation and portfolio management, and modelling risk, return and correlation.
Author : Martin D D Evans
Publisher : World Scientific Publishing Company
ISBN 13 : 9813148543
Total Pages : 791 pages
Book Rating : 4.8/5 (131 download)
Download or read book Studies in Foreign Exchange Economics written by Martin D D Evans and published by World Scientific Publishing Company. This book was released on 2017-06-28 with total page 791 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book collects my scholarly research on the behavior of foreign exchange rates conducted over the past twenty-five years. The collection includes papers that study the behavior of exchange rates from the traditional macroeconomic and newer microstructure perspectives. The former perspective considers the linkages between the macro economy and currency prices in an effort to understand the behavior of exchange rates over quarters, years and decades. By contrast, the microstructure perspective considers how the details of currency trading affect how macroeconomic information becomes embedded in currency prices, a process which drives exchange-rates over intraday horizons. The book also contains papers with a hybrid perspective that consider the details of currency trading and macroeconomic linkages in an effort to understand exchange-rate dynamics across all horizons.
Author : Olivier Basdevant
Publisher : Nova Publishers
ISBN 13 : 9781594545467
Total Pages : 230 pages
Book Rating : 4.5/5 (454 download)
Download or read book Monetary Policy in Transition written by Olivier Basdevant and published by Nova Publishers. This book was released on 2005 with total page 230 pages. Available in PDF, EPUB and Kindle. Book excerpt: Monetary policy faces a particularly difficult task in most economies going through structural reforms: having to stabilise fluctuations around the trend, central banks have also to deal with a trend that is itself subjected to shifts, as a result of reforms. This book proposes some perspectives on these issues, with various contributions from both practitioners and academics, emphasising how rather simple techniques can be conveniently used to solve complex problems. Several issues are hence considered, each emphasising a particular aspect of the theme proposed: (i) forecasting inflation, with the experience of the Reserve Bank of New Zealand being taken as an example, since this country went through drastic structural change, (ii) understanding underlying trends of inflation, focusing on expectations and data revision, wage-bargaining process and more generally supply effects, since structural change magnifies them, (iii) formulating policy recommendations, the example taken is the strategy towards the euro for Eastern European countries and (iv) assessing risks of sudden stops.
Author : J. Bradford De Long
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.3/5 ( download)
Download or read book On the Existence and Interpretation of a "unit Root" in U.S. GNP written by J. Bradford De Long and published by . This book was released on 1988 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : J. Bradford De Long
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.0/5 ( download)
Download or read book The Survival of Noise Traders in Financial Markets written by J. Bradford De Long and published by . This book was released on 1988 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: We use the revised estimates of U.S. GNP constructed by Christina Romer (1989) to assess the time-series properties of U.S. output per capita over the past century. We reject at conventional significance levels the null that output is a random walk in favor of the alternative that output is a stationary autoregressive process about a linear deterministic trend. The difference between the lack of persistence of output shocks either before WWII or over the entire century, on the one hand, and the strong signs of persistence of output shocks found by Campbell and Mankiw (1987) and by Nelson and Plosser (1982) for more recent periods is striking. It suggests to us a Keynesian interpretation of the large unit root in post-WWII U.S. output: perhaps post-WWII output shocks appear persistent because automatic stabilizers and other demand-management policies have substantially damped the transitory fluctuations that made up the pre-WWH Bums-Mitchell business cycle.
Author : Pamela H. Chang
Publisher :
ISBN 13 :
Total Pages : 33 pages
Book Rating : 4.:/5 (933 download)
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:
Author : Xuedong Wang
Publisher :
ISBN 13 : 9789036104401
Total Pages : 120 pages
Book Rating : 4.1/5 (44 download)
Download or read book Time Varying Risk Premium and Limited Participation in Financial Markets written by Xuedong Wang and published by . This book was released on 2015 with total page 120 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Stuart Landon
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book The Risk Premium, Exchange Rate Expectations, and the Forward Exchange Rate written by Stuart Landon and published by . This book was released on 2003 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The hypothesis that the forward rate is an unbiased predictor of the future spot rate has been rejected in many empirical studies. The rejection of this hypothesis could occur because market behavior is inconsistent with rational-expectations or because there exists a risk premium. Equations describing the forward premium and the change in the exchange rate are estimated jointly, and tests of both the rational-expectations and no-risk-premium hypotheses are conducted. Empirical estimates, obtained using quarterly data for the yen-dollar exchange rate, reject the rational-expectations hypothesis and suggest that there exists a time-varying risk premium.
Author : John Goullee
Publisher :
ISBN 13 :
Total Pages : 114 pages
Book Rating : 4.:/5 (877 download)
Download or read book The Time Series Properties of the Risk Premium in the Rand-dollar Exchange Market written by John Goullee and published by . This book was released on 1992 with total page 114 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Robert B. Barsky
Publisher :
ISBN 13 :
Total Pages : 60 pages
Book Rating : 4.3/5 ( download)
Download or read book The Seasonal Cycle and the Business Cycle written by Robert B. Barsky and published by . This book was released on 1988 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: Almost all recent research on macroeconomic fluctuations has worked with seasonally adjusted or annual data. This paper takes a different approach by treating seasonal fluctuations as worthy of study in their own right. We document the quantitative importance of seasonal fluctuations, and we present estimates of the seasonal patterns in a set of standard macroeconomic variables. Our results show that seasonal fluctuations are an important source of variation in all macroeconomic quantity variables but small or entirely absent in both real and nominal price variables. The timing of the seasonal fluctuations consists of increases in the second and fourth quarter, a large decrease in the first quarter, and a mild decrease in the third quarter. The paper demonstrates that, with respect to each of several major stylized facts about business cycles, the seasonal cycle displays the same characteristics as the business cycle, in some cases even more dramatically than the business cycle. That is, we find that at seasonal frequencies as well as at business cycle frequencies, output movements across broadly defined sectors move together, the timing of production and sales coincide closely, labor productivity is procyclical, nominal money and real output are highly correlated, and prices vary less than quantities. There is a "seasonal business cycle" in the United States economy, and its characteristics mirror closely those of the conventional business cycle.
