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Author : Lucio Sarno
Publisher :
ISBN 13 :
Total Pages : 85 pages
Book Rating : 4.:/5 (747 download)
Download or read book Properties of foreign exchange risk premiums written by Lucio Sarno and published by . This book was released on 2011 with total page 85 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Lucio Sarno
Publisher :
ISBN 13 :
Total Pages : 86 pages
Book Rating : 4.:/5 (13 download)
Download or read book Properties of Foreign Exchange Risk Premiums written by Lucio Sarno and published by . This book was released on 2016 with total page 86 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the properties of foreign exchange risk premiums that can explain the forward bias puzzle, defined as the tendency of high-interest rate currencies to appreciate rather than depreciate. These risk premiums arise endogenously from the no-arbitrage condition relating the term structure of interest rates and exchange rates. Estimating affine (multi-currency) term structure models reveals a noticeable tradeoff between matching depreciation rates and accuracy in pricing bonds. Risk premiums implied by our global affine model generate unbiased predictions for currency excess returns and are closely related to global risk aversion, the business cycle, and traditional exchange rate fundamentals.
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 : 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.
Author : Sheng-Yung Yang
Publisher :
ISBN 13 :
Total Pages : 428 pages
Book Rating : 4.:/5 (464 download)
Download or read book Three Essays on the Empirical Analyses of Foreign Exchange Risk Premiums written by Sheng-Yung Yang and published by . This book was released on 2000 with total page 428 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.
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 : Geert Bekaert
Publisher :
ISBN 13 :
Total Pages : 30 pages
Book Rating : 4.:/5 (221 download)
Download or read book The Time Variation of Risk and Return in Foreign Exchange Markets written by Geert Bekaert and published by . This book was released on 1994 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Bonghan Kim
Publisher :
ISBN 13 :
Total Pages : 238 pages
Book Rating : 4.:/5 (326 download)
Download or read book A Study of Risk Premiums in the Foreign Exchange Market written by Bonghan Kim and published by . This book was released on 1994 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Charles Engel
Publisher :
ISBN 13 :
Total Pages : 128 pages
Book Rating : 4.:/5 (318 download)
Download or read book The Forward Discount Anomaly and the Risk Premium written by Charles Engel and published by . This book was released on 1995 with total page 128 pages. Available in PDF, EPUB and Kindle. Book excerpt: Forward exchange rate unbiasedness is rejected in tests from the current floating exchange rate era. This paper surveys advances in this area since the publication of Hodrick's (1987) survey. It documents that the change in the future exchange rate is generally negatively related to the forward discount. Properties of the expected forward forecast error are reviewed. Issues such as the relation of uncovered interest parity to real interest parity, and the implications of uncovered interest parity for cointegration of various quantities are discussed. The modeling and testing for risk premiums is surveyed. Included in this area are tests of the consumption CAPM, tests of the latent variable model, and portfolio-balance models of risk premiums. General equilibrium models of the risk premium are examined and their empirical implications explored. The survey does not cover the important areas of learning and peso problems, tests of rational expectations based on survey data, or the models of irrational expectations and speculative bubbles.
Author : Lars Hörngren
Publisher :
ISBN 13 : 9789172582187
Total Pages : 64 pages
Book Rating : 4.5/5 (821 download)
Download or read book The Foreign Exchange Risk Premium written by Lars Hörngren and published by . This book was released on 1986 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Lars E. O. Svensson
Publisher :
ISBN 13 :
Total Pages : 42 pages
Book Rating : 4.:/5 (318 download)
Download or read book The Foreign Exchange Risk Premium in a Target Zone with Devaluation Risk written by Lars E. O. Svensson and published by . This book was released on 1990 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: The foreign exchange risk premium in an exchange rate target zone regime with devaluation/realignment risks is derived. In contrast to previous literature, the exchange rate's heteroscedasticity within the bard, as well as a separate devaluation/realignment risk, is taken into account. The risk premium is then the sum of two separate risk premia, arising from stochastic exchange rate movements within the bard and from stochastic devaluations/realignments when the band is shifted. Both real and nominal exchange rate premia are considered. The real and nominal risk premia from movements within the band are very small for narrow target zones and can therefore be disregarded. The real and nominal risk premia from devaluations/realignments are larger but still relatively small proportions of the expected rate of devaluation/realignment.
Author : Deborah Cernauskas
Publisher :
ISBN 13 :
Total Pages : 216 pages
Book Rating : 4.:/5 (553 download)
Download or read book The Impact of Money Markets on the Foreign Exchange Risk Premium written by Deborah Cernauskas and published by . This book was released on 2003 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Kpate Adjaoute
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book On Some Parametric and Nonparametric Characterizations of Exchange Risk Premia written by Kpate Adjaoute and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Acceptance or rejection of the risk premium hypothesis in the foreign exchange market often rests on some parametric statistical specification or asset pricing framework. Empirical evidence to date on this issue has been contingent upon the approach taken. After throwing light on the empirical regularities of the forward exchange bias, we take a more flexible nonparametric approach to characterizing the forward risk premium. Using a sample of ten exchange rates relative to the Swiss franc, we find evidence consistent with Fama's [1984] argument and Peel's [1993] results that risk premia exist and exhibit nonlinearity in condition mean, thus challenging traditional linear representations. Under the alternative hypothesis of nonlinear dynamics, the null of linearity was rejected for seven currencies at the usual confidence levels. Contrary to previous studies, the most parsimonious representation of nonlinear risk premia was evidenced through penalized least squares in the now popular smoothing spline framework. This finding, coupled with other empirical time series properties of exchange risk premia, sets the ground for proper specifications in tests of the unbiasedness hypothesis of the forward rate, as well as in models of international asset pricing where exchange rate risk premia are invoked. However, questions pertaining to the fairness of the risk premium component are not in the scope of this paper and are left for future research.
Author : Richard T. Baillie
Publisher : Cambridge University Press
ISBN 13 : 9780521396905
Total Pages : 280 pages
Book Rating : 4.3/5 (969 download)
Download or read book The Foreign Exchange Market written by Richard T. Baillie and published by Cambridge University Press. This book was released on 1989 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: The flotation of exchange rates in the early 1970s saw a significant increase in the importance of foreign exchange markets and in the interest shown in them. Apart from the consequent institutional changes, this period also witnessed a revolution in macroeconomic analysis and finance theory based on the concept of rational expectations. This book provides an integrated approach to recent developments in the understanding of foreign exchange markets. It begins by charting the institutional background and looks at the recent history of movements in some of the major exchange rates. The theoretical sections focus on the economic and finance theory of the asset market approach, the macroeconomic models developed from this approach, and on interest rate parity theory. The empirical chapters draw on the authors' own research from a high quality set of exchange rate and interest rate data. The statistical properties of exchange rates are analysed; the relationship between spot and forward rates is examined; and the modelling and impact of new information on the forward and spot relationship is considered. The final chapter is devoted to the estimation and testing of exchange rate models.
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 : Craig Stephan Hakkio
Publisher :
ISBN 13 :
Total Pages : 90 pages
Book Rating : 4.:/5 (298 download)
Download or read book The Foreign Exchange Risk Premium written by Craig Stephan Hakkio and published by . This book was released on 1991 with total page 90 pages. Available in PDF, EPUB and Kindle. Book excerpt:
