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Author : Giampiero M. Gallo
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (133 download)
Download or read book Time-varying/sing-switching Risk Perception on Foreign Exchange Markets written by Giampiero M. Gallo and published by . This book was released on 1995 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Giampiero M. Gallo
Publisher :
ISBN 13 :
Total Pages : 56 pages
Book Rating : 4.F/5 ( download)
Download or read book Time-varying/sign-switching Risk Perception on Foreign Exchange Markets written by Giampiero M. Gallo and published by . This book was released on 1995 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Giampero M. Gallo
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (865 download)
Download or read book Time-varying Sign-switching Risk Perception on Foreign Exchange Markets written by Giampero M. Gallo and published by . This book was released on 1995 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Alberto Giovannini
Publisher :
ISBN 13 :
Total Pages : 56 pages
Book Rating : 4.X/5 (1 download)
Download or read book The Time-variation of Risk and Return in the Foreign Exchange and Stock Markets written by Alberto Giovannini and published by . This book was released on 1988 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent empirical work indicates that, in a variety of financial markets, both conditional expectations and conditional variances of returns are time- varying. The purpose of this paper is to determine whether these joint fluctuations of conditional first and second moments are consistent with the Sharpe-Lintner-Mossin capital-asset-pricing model. We test the mean-variance model under several different assumptions about the time-variation of conditional second moments of returns, using weekly data from July 1974 to December 1986, that include returns on a portfolio composed of dollar, Deutsche mark, Sterling, and Swiss franc assets, together with the US stock market. The model is estimated constraining risk premia to depend on the time-varying conditional covariance matrix of the residuals of the expected returns equations. The results indicate that estimated conditional variances cannot explain the observed time-variation of risk premia. Furthermore, the constraints imposed by the static CAPH are always rejected.
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 : Giampiero M. Gallo
Publisher :
ISBN 13 :
Total Pages : 64 pages
Book Rating : 4.:/5 (318 download)
Download or read book Risk-related Asymmetries in Foreign Exchange Markets written by Giampiero M. Gallo and published by . This book was released on 1995 with total page 64 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 : Y. C. Lum
Publisher : Routledge
ISBN 13 : 1000172589
Total Pages : 1149 pages
Book Rating : 4.0/5 (1 download)
Download or read book Management of Foreign Exchange Risk written by Y. C. Lum and published by Routledge. This book was released on 2020-09-02 with total page 1149 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a technical and specialised discussion of contemporary and emerging issues in foreign exchange and financial markets by addressing the issues of risk management and theory and hypothesis development, which have general implications for finance theory and foreign exchange market management. It offers an in-depth, comprehensive analysis of the issues concerning the volatility of exchange rates. The book has three main objectives. First, it applies the integrated study of exchange rate volatility in terms of depth and breadth. Second, it applies the integrated study of exchange rate volatility in Malaysia, as a case study of a developing country. Malaysia had imposed capital control measures in the past and has now liberalised its exchange rate market and will continue to liberalise it further in the long run. Hence, the need to understand exchange rate volatility measurement and management will be even more important in the future. Third, the book highlights new conditional volatility models for a developing country, such as Malaysia, and develops advanced econometric models which have produced results for sound risk management strategies and for achieving risk management in the financial market and the economy. Additionally, the authors recommend risk management themes which may be of relevance to other developing countries. This work can be used as a reference book by fund managers, financial market analysts, researchers, academics, practitioners, policy makers and postgraduate students in the areas of finance, accounting, business and financial economics. It can also be a supplementary text for Ph.D. and Masters’ students in these areas.
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 : Pamela H. Chang
Publisher :
ISBN 13 :
Total Pages : 33 pages
Book Rating : 4.:/5 (269 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 : Y. C. Lum
Publisher : Routledge
ISBN 13 : 1000172546
Total Pages : 291 pages
Book Rating : 4.0/5 (1 download)
Download or read book Management of Foreign Exchange Risk written by Y. C. Lum and published by Routledge. This book was released on 2020-09-02 with total page 291 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a technical and specialised discussion of contemporary and emerging issues in foreign exchange and financial markets by addressing the issues of risk management and theory and hypothesis development, which have general implications for finance theory and foreign exchange market management. It offers an in-depth, comprehensive analysis of the issues concerning the volatility of exchange rates. The book has three main objectives. First, it applies the integrated study of exchange rate volatility in terms of depth and breadth. Second, it applies the integrated study of exchange rate volatility in Malaysia, as a case study of a developing country. Malaysia had imposed capital control measures in the past and has now liberalised its exchange rate market and will continue to liberalise it further in the long run. Hence, the need to understand exchange rate volatility measurement and management will be even more important in the future. Third, the book highlights new conditional volatility models for a developing country, such as Malaysia, and develops advanced econometric models which have produced results for sound risk management strategies and for achieving risk management in the financial market and the economy. Additionally, the authors recommend risk management themes which may be of relevance to other developing countries. This work can be used as a reference book by fund managers, financial market analysts, researchers, academics, practitioners, policy makers and postgraduate students in the areas of finance, accounting, business and financial economics. It can also be a supplementary text for Ph.D. and Masters’ students in these areas.
Author : Geert Bekaert
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (873 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 1996 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the statistical properties of high frequency nominal exchange rates and forward premiums in the context of a dynamic two-country general equilibrium model. Primary focus is on the persistence, variability, leptokurtosis and conditional heteroskedasticity of exchange rates and on the behavior of foreign exchange risk premiums. The model combines temporal dependencies in preferences with a transaction cost technology that generates a role for money. Agents in the economy make decisions on a weekly frequency and face shocks which display time-varying uncertainty. Simulations reveal that the model accounts for the statistical properties of exchange rate data much more accurately than previous structural models
Author : Hopper
Publisher :
ISBN 13 :
Total Pages : 53 pages
Book Rating : 4.:/5 (99 download)
Download or read book Can a Time Varying Risk Premium Explain the Failure of Uncovered Interest Party in the Market for Foreign Exchange written by Hopper and published by . This book was released on 1992 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Alberto GIOVANNINI
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (119 download)
Download or read book THE TIME-VARIATION OF RISK AND RETURN IN THE FOREIGN EXCHANGE AND STOCK MARKET written by Alberto GIOVANNINI and published by . This book was released on 1988 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Gregory P. Hopper
Publisher :
ISBN 13 :
Total Pages : 31 pages
Book Rating : 4.:/5 (321 download)
Download or read book Time-varying Consumption Betas and the Foreign Exchange Market written by Gregory P. Hopper and published by . This book was released on 1994 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Giancarlo Corsetti
Publisher :
ISBN 13 :
Total Pages : 18 pages
Book Rating : 4.:/5 (114 download)
Download or read book A Century of Arbitrage and Disaster Risk Pricing in the Foreign Exchange Market written by Giancarlo Corsetti and published by . This book was released on 2020 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: A long-standing puzzle in international finance is that a positive interest rate differen- tial systematically forecasts an exchange rate appreciation-the Uncovered Interest Parity (UIP) puzzle. Hence, a carry trade portfolio long in high yield currency bonds funded by borrowing in low yield currencies can be expected to yield positive profits. Following the Great Financial Crisis, however, the sign of the puzzle has changed-positive differentials forecast excessive depreciation-and carry trade has withered after the large losses suffered by investors in 2007-2008. In this paper, we use a century-long time series for the GBP/USD exchange rate to show that a sign switch is neither new, nor, arguably, a new puzzle. First, it is not new in the data-by virtue of a long sample featuring infrequent, non-overlapping currency crashes, we document that switches systematically occur in crises such as the Great Depression in the 1930s and the exchange rate turmoil of the 1990s. However, UIP devi- ations, sharp in either direction for short- to medium-horizon portfolios, remain small to almost negligible for long-horizon investment portfolios. Second, we argue that our century-long evidence is consistent with models featuring a time-varying probability of disasters or 'Peso events,' specified so to account for the difference in UIP deviations in crisis and nor- mal times, as well as for a decreasing term structure of carry trade returns that on average characterize the data.
Author : Assoé, Kodjovi G
Publisher : Montréal : École des hautes études commerciales, Centre d'études en administration internationale
ISBN 13 :
Total Pages : 66 pages
Book Rating : 4.:/5 (39 download)
Download or read book Foreign Exchange Market Risk Premia with Time-nonseparable and Time-varying Risk Preferences written by Assoé, Kodjovi G and published by Montréal : École des hautes études commerciales, Centre d'études en administration internationale. This book was released on 1993 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt:
