Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Download The Risk Premium In The Foreign Exchange Market full books in PDF, epub, and Kindle. Read online The Risk Premium In The Foreign Exchange Market ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Author : Anne Sibert
Publisher :
ISBN 13 :
Total Pages : 50 pages
Book Rating : 4.:/5 (176 download)
Download or read book The Risk Premium in the Foreign Exchange Market written by Anne Sibert and published by . This book was released on 1987 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mitsuhiro Fukao
Publisher : Ann Arbor, Mich. : University Microfilms International
ISBN 13 :
Total Pages : 164 pages
Book Rating : 4.:/5 (1 download)
Download or read book The Risk Premium in the Foreign Exchange Market written by Mitsuhiro Fukao and published by Ann Arbor, Mich. : University Microfilms International. This book was released on 1981 with total page 164 pages. Available in PDF, EPUB and Kindle. Book excerpt: exchange rate from its equilibrium rate is determined by a real interest differential and a risk premium which depends on both the balance of indebtedness and on the estimated variance matrix of future spot-exchange rates.
Author : Anne C. SIBERT
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (119 download)
Download or read book THE RISK PREMIUM IN THE MARKET FOR FORWARD FOREIGN EXCHANGE written by Anne C. SIBERT and published by . This book was released on 1982 with total page 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 : 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 : Ian Domowitz
Publisher :
ISBN 13 :
Total Pages : 50 pages
Book Rating : 4.:/5 (11 download)
Download or read book Conditional Variance and the Risk Premium in the Foreign Exchange Market written by Ian Domowitz and published by . This book was released on 1983 with total page 50 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.
Author : Charles M. Engel
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (133 download)
Download or read book The Risk Premium and the Liquidity Premium in Foreign Exchange Markets written by Charles M. Engel and published by . This book was released on 1990 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Charles Engel
Publisher :
ISBN 13 :
Total Pages : 42 pages
Book Rating : 4.:/5 (234 download)
Download or read book The Risk Premium and the Liquidity Premium in Foreign Exchange Markets written by Charles Engel and published by . This book was released on 1990 with total page 42 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.
Author : Jeffrey A. Frankel
Publisher :
ISBN 13 :
Total Pages : 74 pages
Book Rating : 4.3/5 ( download)
Download or read book A Test of the Existence of the Risk Premium in the Foreign Exchange Market Vs. the Hypothesis of Perfect Substitutability written by Jeffrey A. Frankel and published by . This book was released on 1979 with total page 74 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Frank Leiber
Publisher :
ISBN 13 :
Total Pages : 120 pages
Book Rating : 4.:/5 (832 download)
Download or read book Efficiency of Foreign Exchange Markets written by Frank Leiber and published by . This book was released on 1993 with total page 120 pages. Available in PDF, EPUB and Kindle. Book excerpt: Analyse: The efficient market hypothesis is tested using both a forward looking proxy of the risk premium and data on currency futures/-options contracts.
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 : 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 : Javier Pantoja
Publisher :
ISBN 13 :
Total Pages : 24 pages
Book Rating : 4.:/5 (13 download)
Download or read book Risk Premium Estimation in the Colombian Foreign Exchange Market written by Javier Pantoja and published by . This book was released on 2017 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: We studied the foreign exchange risk premium in the Colombian market for the USD/COP exchange rate. Likewise most literature, we consider the existence of the risk premium, as we assessed the problem considering future contracts prices and spot prices at four different times of the morning. Furthermore, we found statistically significant evidence to consider the risk premium as time-varying due to different results in the estimations depending of the time of the day. Finally, in contrast with the early morning regressions, we encountered evidence that the estimation of the foreign exchange risk premium was statistically significant only in late hours of the morning, i.e., only at 11:00 and 12:00 suggesting that the exchange market may valuate more adequately the futures in the late morning hours. This can be explained by the fact that early transactions have higher volatility and may miss important information that the market include as the day advances.
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 : Lars E. O. Svensson
Publisher :
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.X/5 (2 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 1991 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
