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The Yen Risk Premium
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Book Synopsis The Yen Risk Premium by : Sungjun Cho
Download or read book The Yen Risk Premium written by Sungjun Cho and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We document a new risk premium in the Japanese yen that compensates for the policy uncertainty in Japan. The yen risk premium is implied from bond markets under the assumption of no-arbitrage. We estimate a regime switching term structure model and find that in Japan, the conventional monetary policy and the zero interest rate policy are characterized by a high volatility and a low volatility regime, respectively. Uncertainty arises during the transition between regimes in the late 1990s. The associated risk premium explains the yen excess return in this period, which is not captured by affine term structure models.
Book Synopsis On Time-series Properties of Time-varying Risk Premium in the Yen by : Fabio Canova
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:
Book Synopsis On Time-series Properties of Time-varying Risk Premium in the Yen/dollar Exchange Market by : Fabio Canova
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.
Book Synopsis On the Time Varying Risk Premium in the Yen/dollar Exchange Market by : Fabio Canova
Download or read book On the Time Varying Risk Premium in the Yen/dollar Exchange Market written by Fabio Canova and published by . This book was released on 1987 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Japanese Yen Futures Returns, Spot Returns, and the Risk Premium by : A. Can Inci
Download or read book The Japanese Yen Futures Returns, Spot Returns, and the Risk Premium written by A. Can Inci and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Japanese yen currency dynamics are investigated in spot and futures markets. Maturity is proposed as a proxy for the time-varying risk premium. As the maturity of a yen futures contract nears, there is less uncertainty implying a small absolute risk premium. A longer maturity is associated with uncertainty about the economy, the underlying currency, and the contract; and implies a high risk premium. Models that include maturity in addition to the futures - spot basis as explanatory variables exhibit better empirical performance in explaining futures returns and spot returns. The results are robust to different sample periods, forecast horizons, and estimation techniques.
Book Synopsis On Time-series Properties of Time-varying Risk Premium in the Yen/Dollar Exchange Market by :
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:
Book Synopsis On Time-Series Properties of Time-Varying Risk Premium in the Yen by :
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:
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 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 An Econometric Estimation of the Yen-dollar Risk Premium in a Portfolio-balance Model with Rational Expectations by : Durgesh S. Tinaikar
Download or read book An Econometric Estimation of the Yen-dollar Risk Premium in a Portfolio-balance Model with Rational Expectations written by Durgesh S. Tinaikar and published by . This book was released on 1989 with total page 400 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Exchange Rate Volatilies and Time-varying Risk Premium in East Asia by : Chae-sik Chŏng
Download or read book Exchange Rate Volatilies and Time-varying Risk Premium in East Asia written by Chae-sik Chŏng and published by KIEP. This book was released on 2004 with total page 78 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis More Evidence on the Dollar Risk Premium in the Foreign Exchange Market by : Dennis Bams
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:
Book Synopsis Exchange-Rate Exposure, Stock Returns and the Pricing of Currency Risk in Japan by : John A. Doukas
Download or read book Exchange-Rate Exposure, Stock Returns and the Pricing of Currency Risk in Japan written by John A. Doukas and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Previous work on the exposure of firms to exchange-rate risk has primarily focused on U.S. firms and, surprisingly, found stock returns were not significantly affected by exchange-rate fluctuations. In this paper we conduct a comprehensive analysis that examines the relation between Japanese stock returns and unanticipated exchange-rate changes. In addition, we investigate whether exchange-rate risk is priced in the equity market of Japan using a conditional testing procedure that allows risk premia to change through time in response to changes in macroeconomic conditions. We find a reliable relation between stock returns and unanticipated yen fluctuations. The exposure effect on multinationals and high-exporting firms, however, is found to be greater compared to low-exporting and domestic firms. Lagged-exchange rate changes on firm value are found to be statistically insignificant and without any predictive power for future stock returns based on the asset pricing tests. The co-movement between stock returns and the value of the yen is found to be positively associated with the degree of firm's foreign involvement. Our multi-period conditional asset pricing tests show that the foreign exchange-rate risk premium is a significant component of Japanese stock returns. Specifically, the results suggest that currency- risk exposure commands significant risk premium for multinationals and high-exporting Japanese firms. Finally, Japanese stock returns are found to be related to the relative distress, size and market factors, as shown by Fama and French (1995) for U.S. stocks above and beyond the covariation by the foreign currency factor.
Book Synopsis The Risk Premium Factor by : Stephen D. Hassett
Download or read book The Risk Premium Factor written by Stephen D. Hassett and published by John Wiley & Sons. This book was released on 2011-08-31 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt: A radical, definitive explanation of the link between loss aversion theory, the equity risk premium and stock price, and how to profit from it The Risk Premium Factor presents and proves a radical new theory that explains the stock market, offering a quantitative explanation for all the booms, busts, bubbles, and multiple expansions and contractions of the market we have experienced over the past half-century. Written by Stephen D. Hassett, a corporate development executive, author and specialist in value management, mergers and acquisitions, new venture strategy, development, and execution for high technology, SaaS, web, and mobile businesses, the book convincingly demonstrates that the equity risk premium is proportional to long-term Treasury yields, establishing a connection to loss aversion theory. Explains stock prices from 1960 through the present including the 2008/09 "market meltdown" Shows how the S&P 500 has consistently reverted to values predicted by the model Solves the equity premium puzzle by showing that it is consistent with findings on loss aversion Demonstrates that three factors drive valuation and stock price: earnings, long term growth, and interest rates Understanding the stock market is simple. By grasping the simplicity, business leaders, corporate decision makers, private equity, venture capital, professional, and individual investors will fully understand the system under which they operate, and find themselves empowered to make better decisions managing their businesses and investment portfolios.
Book Synopsis Aggregate and Disaggregate Measures of the Foreign Exchange Risk Premium by : Dionysios Chionis
Download or read book Aggregate and Disaggregate Measures of the Foreign Exchange Risk Premium written by Dionysios Chionis and published by . This book was released on 2001 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using a disaggregate survey data base, this paper re-examines the issue of the existence of a time-varying risk premia in three foreign exchange markets. Previous research on this topic has utilized a consensus measure of the risk premium, based on the rational expectations assumption, and is not supportive of the existence of such a premium. In contrast, this paper reports compelling evidence in favour of time-varying risk premia for the British pound, German mark and Japanese yen exchange rates. In particular, we demonstrate that consensus measures of the risk premium mask the existence of risk because of the importance of heterogeneous expectations.
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 The Volatility Risk Premium Embedded in Currency Options by : Buen Sin Low
Download or read book The Volatility Risk Premium Embedded in Currency Options written by Buen Sin Low and published by . This book was released on 2020 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study employs a non-parametric approach to investigate the volatility risk premium in the over-the-counter currency option market. Using a large database of daily delta-neutral straddle quotes in four major currencies - the British pound, the euro, the Japanese yen, and the Swiss franc - we find that volatility risk is priced in all four currencies across different option maturities. We find that the volatility risk premium is negative, with the premium decreasing in maturity. Finally, we also find evidence that jump risk may be priced in the currency option market.
