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The Risk Premium Exchange Rate Expectations And The Forward Exchange Rate
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Book Synopsis The Risk Premium, Exchange Rate Expectations and the Forward Exchange Rate by : Stuart Landon
Download or read book The Risk Premium, Exchange Rate Expectations and the Forward Exchange Rate written by Stuart Landon and published by Department of Economics, University of Alberta. This book was released on 1999 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Risk Premium, Exchange Rate Expectations, and the Forward Exchange Rate : Estimates for the Yen-dollar Rate by : Stuart Landon
Download or read book The Risk Premium, Exchange Rate Expectations, and the Forward Exchange Rate : Estimates for the Yen-dollar Rate written by Stuart Landon and published by . This book was released on 1999 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Foreign Exchange Risk Premium by : Mr.Lorenzo Giorgianni
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.
Book Synopsis The "Exchange Risk Premium," Uncovered Unterest Parity, and the Treatment of Exchange Rates in Multicountry Macroeconomic Models by : Ralph C. Bryant
Download or read book The "Exchange Risk Premium," Uncovered Unterest Parity, and the Treatment of Exchange Rates in Multicountry Macroeconomic Models written by Ralph C. Bryant and published by . This book was released on 1995 with total page 120 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Exchange Rate Expectations, the Forward Exchange Rate Bias and Risk Premia in Target Zones by : Marianne Nessén
Download or read book Exchange Rate Expectations, the Forward Exchange Rate Bias and Risk Premia in Target Zones written by Marianne Nessén and published by . This book was released on 1994 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Exchange Rate Expectations and the Risk Premium by : Jeffrey A. Frankel
Download or read book Exchange Rate Expectations and the Risk Premium written by Jeffrey A. Frankel and published by . This book was released on 1991 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: Survey data on a broad cross section of 17 currencies are used to determine whether the forward discount moves primarily in response to changes in expectations of depreciation, or in the risk premium. We find that changes in expected depreciation are quantitatively significant. However we also find evidence, in contrast to earlier studies involving only four or five major currencies, that variation in the risk premium constitutes a large part of variation in the forward discount as well.
Book Synopsis Expectations and the Foreign Exchange Market by : Craig Hakkio
Download or read book Expectations and the Foreign Exchange Market written by Craig Hakkio and published by Routledge. This book was released on 2017-04-21 with total page 100 pages. Available in PDF, EPUB and Kindle. Book excerpt: Originally published in 1984. This book examines two important dimensions of efficiency in the foreign exchange market using econometric techniques. It responds to the macroeconomics trend to re-examining the theories of exchange rate determination following the erratic behaviour of exchange rates in the late 1970s. In particular the text looks at the relation between spot and forward exchange rates and the term structure of the forward premium, both of which require a joint test of market efficiency and the equilibrium model. Approaches used are the regression of spot rates on lagged forward rates and an explicit time series analysis of the spot and forward rates, using data from Canada, the United Kingdom, the Netherlands, Switzerland and Germany.
Book Synopsis Exchange Rates, Interest Rates, and the Risk Premium by : Charles Engel
Download or read book Exchange Rates, Interest Rates, and the Risk Premium written by Charles Engel and published by . This book was released on 2015 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: The well-known uncovered interest parity puzzle arises from the empirical regularity that, among developed country pairs, the high interest rate country tends to have high expected returns on its short term assets. At the same time, another strand of the literature has documented that high real interest rate countries tend to have currencies that are strong in real terms -- indeed, stronger than can be accounted for by the path of expected real interest differentials under uncovered interest parity. These two strands -- one concerning short-run expected changes and the other concerning the level of the real exchange rate -- have apparently contradictory implications for the relationship of the foreign exchange risk premium and interest-rate differentials. This paper documents the puzzle, and shows that existing models appear unable to account for both empirical findings. The features of a model that might reconcile the findings are discussed.
Book Synopsis U.S. Dollar Dynamics by : Mr.Ravi Balakrishnan
Download or read book U.S. Dollar Dynamics written by Mr.Ravi Balakrishnan and published by International Monetary Fund. This book was released on 2016-09-08 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the drivers of dynamics of major U.S. FX bilaterals. We first construct a novel measure of FX risk premiums using Consensus exchange rate forecasts. We then use VAR analysis to show that (i) risk premium shocks play a key role in driving dynamics of the major U.S. FX bilaterals; (ii) longer-term interest differentials also matter, especially for the Canadian $ and the Euro; (iii) oil price shocks play a particularly important role for the Canadian $ (an oil exporter); and (iv) risk appetite shocks (e.g., VIX shocks) generally lead to U.S. dollar appreciation. The importance of risk premium and longer-term interest differential shocks fit well with a simple theoretical model and are supported by recent event studies.
Book Synopsis On Exchange Rates by : Jeffrey A. Frankel
Download or read book On Exchange Rates written by Jeffrey A. Frankel and published by MIT Press. This book was released on 1993 with total page 468 pages. Available in PDF, EPUB and Kindle. Book excerpt: These seventeen essays provide an accessible and thorough reference for understanding the role of exchange rates in the international monetary system since 1973, when the rates were allowed to float. The essays analyze such issues as exchange rate movements, exchange risk premia, investor expectations of exchange rates and behavior of exchange rates in different systems. Frankel's sound empirical treatment of exchange rate questions shows that it is possible to produce work that is interesting from a purely intellectual viewpoint while contributing to practical knowledge of the real world of international economics and finance.The essays have been organized in a way that provides an introduction to the field of empirical international finance. Part I documents the steady reduction in barriers to international capital movement and leads logically to part II, which explains how exchange rates are determined. Both monetary and portfolio-based models are surveyed in part II, providing a clear transition to the topic of part III; the possible existence of an exchange risk premium. Part IV applies the tools discussed in earlier sections to explore various policy questions related to exchange rate expectations such as whether foreign exchange intervention matters and whether the European monetary system had become credible by 1991. Each part begins with a detailed introduction explaining not only the central issues of that section but also suggesting connections with other essays in the book.Jeffrey A. Frankel is Professor of Economics at the University of California, Berkeley.
Book Synopsis The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets by : R. Hodrick
Download or read book The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets written by R. Hodrick and published by Routledge. This book was released on 2014-05-01 with total page 185 pages. Available in PDF, EPUB and Kindle. Book excerpt: First Published in 2001. Routledge is an imprint of Taylor & Francis, an informa company.
Book Synopsis The Forward Discount Anomaly and the Risk Premium by : Charles Engel
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.
Book Synopsis Rational Expectations, Risk Premia, and the Market for Spot and Forward Exchange by : Richard Meese
Download or read book Rational Expectations, Risk Premia, and the Market for Spot and Forward Exchange written by Richard Meese and published by . This book was released on 1980 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Handbook of Exchange Rates by : Jessica James
Download or read book Handbook of Exchange Rates written by Jessica James and published by John Wiley & Sons. This book was released on 2012-05-29 with total page 674 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for Handbook of Exchange Rates “This book is remarkable. I expect it to become the anchor reference for people working in the foreign exchange field.” —Richard K. Lyons, Dean and Professor of Finance, Haas School of Business, University of California Berkeley “It is quite easily the most wide ranging treaty of expertise on the forex market I have ever come across. I will be keeping a copy close to my fingertips.” —Jim O’Neill, Chairman, Goldman Sachs Asset Management How should we evaluate the forecasting power of models? What are appropriate loss functions for major market participants? Is the exchange rate the only means of adjustment? Handbook of Exchange Rates answers these questions and many more, equipping readers with the relevant concepts and policies for working in today’s international economic climate. Featuring contributions written by leading specialists from the global financial arena, this handbook provides a collection of original ideas on foreign exchange (FX) rates in four succinct sections: • Overview introduces the history of the FX market and exchange rate regimes, discussing key instruments in the trading environment as well as macro and micro approaches to FX determination. • Exchange Rate Models and Methods focuses on forecasting exchange rates, featuring methodological contributions on the statistical methods for evaluating forecast performance, parity relationships, fair value models, and flow–based models. • FX Markets and Products outlines active currency management, currency hedging, hedge accounting; high frequency and algorithmic trading in FX; and FX strategy-based products. • FX Markets and Policy explores the current policies in place in global markets and presents a framework for analyzing financial crises. Throughout the book, topics are explored in-depth alongside their founding principles. Each chapter uses real-world examples from the financial industry and concludes with a summary that outlines key points and concepts. Handbook of Exchange Rates is an essential reference for fund managers and investors as well as practitioners and researchers working in finance, banking, business, and econometrics. The book also serves as a valuable supplement for courses on economics, business, and international finance at the upper-undergraduate and graduate levels.
Book Synopsis The Forward Exchange Rate Bias by : Ross Levine
Download or read book The Forward Exchange Rate Bias written by Ross Levine and published by . This book was released on 1988 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Interest Rates and Risk Premia in the Stock Market and in the Foreign Exchange Market by : Alberto Giovannini
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:
Book Synopsis Factors Determining Exchange Rates by : Peter Isard
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:
