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Author : Juan Ayuso
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.3/5 ( download)
Download or read book Efficiency and Risk Premia in Foreign Exchange Markets written by Juan Ayuso and published by . This book was released on 1993 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Wen-he Lu
Publisher :
ISBN 13 :
Total Pages : 130 pages
Book Rating : 4.:/5 (152 download)
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.
Author : Shaun K. Roache
Publisher : International Monetary Fund
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.:/5 (318 download)
Download or read book Currency Risk Premia in Global Stock Markets written by Shaun K. Roache and published by International Monetary Fund. This book was released on 2006-08 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: Large fundamental imbalances persist in the global economy, with potential exchange rate implications. This paper assesses whether exchange rate risk is priced across G-7 stock markets. Given the multitude of hedging instruments available, theory suggests that stock market investors should not be compensated for currency risk. However, data covering 33 industry portfolios across seven major stock markets suggest that not only is exchange rate risk priced in many markets, but that it is time-varying and sensitive to currency-specific shocks. With stock market investors typically exhibiting "home bias," this suggests that investors are using equity asset proxies to hedge the exchange rate risks to consumption.
Author : Lorenzo Giorgianni
Publisher :
ISBN 13 :
Total Pages : 400 pages
Book Rating : 4.:/5 (187 download)
Download or read book On Expectations and Risk Premia in Foreign Exchange Markets written by Lorenzo Giorgianni and published by . This book was released on 1996 with total page 400 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 : Alberto Giovannini
Publisher :
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.0/5 ( download)
Download or read book Interest Rates and Risk Premia in the Stock Market and in the Foreign Exchange Market written by Alberto Giovannini and published by . This book was released on 1986 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Dennis Bams
Publisher :
ISBN 13 :
Total Pages : 42 pages
Book Rating : 4.X/5 (4 download)
Download or read book More Evidence on the Dollar Risk Premium in the Foreign Exchange Market written by Dennis Bams and published by . This book was released on 2003 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Prasad V. Bidarkota
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
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.
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 : Anne C. Sibert
Publisher :
ISBN 13 :
Total Pages : 78 pages
Book Rating : 4.:/5 (268 download)
Download or read book Can Unconventional Preferences Explain Risk Premia in the Foreign Exchange Markets ? written by Anne C. Sibert and published by . This book was released on 1992 with total page 78 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : William Dean Lastrapes
Publisher :
ISBN 13 :
Total Pages : 208 pages
Book Rating : 4.:/5 (753 download)
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:
Author : Toshiro Akizuki
Publisher :
ISBN 13 :
Total Pages : 286 pages
Book Rating : 4.:/5 (222 download)
Download or read book An Empirical Inquiry Into the Sources of Risk Premia in Foreign Exchange Markets written by Toshiro Akizuki and published by . This book was released on 1999 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Seongman Moon
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (13 download)
Download or read book Foreign Exchange Risk Premia and Goods Market Frictions written by Seongman Moon and published by . This book was released on 2016 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: Fama's (1984) volatility relations show that the risk premium in foreign exchange markets is more volatile than, and is negatively correlated with the expected rate of depreciation. This paper studies these relations from the perspective of goods markets frictions. Using a sticky-price general equilibrium model, we show that near-random walk behaviors of both exchange rates and consumption, in response to monetary shocks, can be derived endogenously. Based on this approach, the paper provides quantitative results on Fama's volatility relations.
Author : Yerima Lawan Ngama
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (911 download)
Download or read book Risk Premia and the Efficiency of the Spot and the Forward Foreign Exchange Markets written by Yerima Lawan Ngama and published by . This book was released on 1990 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Lorenzo Giorgianni
Publisher :
ISBN 13 :
Total Pages : 46 pages
Book Rating : 4.:/5 (318 download)
Download or read book Foreign Exchange Risk Premium written by Lorenzo Giorgianni and published by . This book was released on 1997 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Dimitris Margaritis
Publisher :
ISBN 13 :
Total Pages : 20 pages
Book Rating : 4.3/5 ( download)
Download or read book Time-varying Risk Premia and the Efficiency of the New Zealand Foreign Exchange Market written by Dimitris Margaritis and published by . This book was released on 1991 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mike Wickens
Publisher :
ISBN 13 :
Total Pages : 60 pages
Book Rating : 4.X/5 (2 download)
Download or read book Non-parametric Estimates of the Foreign Exchange and Equity Risk Premia and Tests of Market Efficiency written by Mike Wickens and published by . This book was released on 1989 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:
