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Author : Warren J. Tease
Publisher :
ISBN 13 :
Total Pages : 25 pages
Book Rating : 4.:/5 (22 download)
Download or read book Risk Premia, Market Efficiency and the Exchange Rate written by Warren J. Tease and published by . This book was released on 1986 with total page 25 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:
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 : Oreste Napolitano
Publisher :
ISBN 13 :
Total Pages : 31 pages
Book Rating : 4.:/5 (535 download)
Download or read book The Exchange Rate Market Efficiency and the Risk Premium written by Oreste Napolitano and published by . This book was released on 1998 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Garry K. Lester
Publisher :
ISBN 13 :
Total Pages : 200 pages
Book Rating : 4.:/5 (468 download)
Download or read book Foreign Exchange Market Efficiency, Risk Premia and Interest Rates written by Garry K. Lester and published by . This book was released on 1988 with total page 200 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 : Guglielmo Maria Caporale
Publisher :
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.:/5 (62 download)
Download or read book Interest Rate Convergence, Capital Controls, Risk Premia and Foreign Exchange Market Efficiency in the EMS. written by Guglielmo Maria Caporale and published by . This book was released on 1995 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 : R. Hodrick
Publisher : Routledge
ISBN 13 : 1136455213
Total Pages : 185 pages
Book Rating : 4.1/5 (364 download)
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.
Author : Ronald MacDonald
Publisher :
ISBN 13 :
Total Pages : 552 pages
Book Rating : 4.:/5 (321 download)
Download or read book Exchange Rate Economics: Foreign exchange market efficiency written by Ronald MacDonald and published by . This book was released on 1992 with total page 552 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Richard Meese
Publisher :
ISBN 13 :
Total Pages : 68 pages
Book Rating : 4.3/5 ( download)
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:
Author : Rui M. Campos Guimarães
Publisher :
ISBN 13 :
Total Pages : 828 pages
Book Rating : 4.:/5 (321 download)
Download or read book A Reappraisal of the Efficiency of Financial Markets written by Rui M. Campos Guimarães and published by . This book was released on 1989 with total page 828 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Nita Thacker
Publisher :
ISBN 13 :
Total Pages : 552 pages
Book Rating : 4.:/5 (966 download)
Download or read book Efficiency, Risk Premia, Error Correction Models and Conditional Heteroscedasticity in Foreign Exchange Markets written by Nita Thacker and published by . This book was released on 1990 with total page 552 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mr.Ronald MacDonald
Publisher : International Monetary Fund
ISBN 13 :
Total Pages : 66 pages
Book Rating : 4.:/5 (318 download)
Download or read book Exchange Rate Economics written by Mr.Ronald MacDonald and published by International Monetary Fund. This book was released on 1991-06 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: We survey the literature on the two main views of exchange rate determination that have evolved since the early 1970s: the monetary approach to the exchange rate (in flex-price, sticky-price and real interest differential formulations) and the portfolio balance approach. We then go on to discuss the extant empirical evidence on these models and conclude by discussing how the future research strategy in the area of exchange rate determination is likely to develop. We also discuss the literature on foreign exchange market efficiency, on exchange rates and ‘news’ and on international parity conditions.
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 : Peter Ashley Sharp
Publisher :
ISBN 13 :
Total Pages : 308 pages
Book Rating : 4.:/5 (12 download)
Download or read book Forward Exchange Risk Premia in Efficient Markets written by Peter Ashley Sharp and published by . This book was released on 1984 with total page 308 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : David S. Bieri
Publisher :
ISBN 13 :
Total Pages : 45 pages
Book Rating : 4.:/5 (131 download)
Download or read book Central Bank Intervention and Risk Premia in Foreign Exchange Markets written by David S. Bieri and published by . This book was released on 2013 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since the Plaza Meeting in September 1985, G-10 central banks have intervened in foreign exchange markets in a manner and scale unprecedented in the post Bretton Woods era. Using official daily data on interventions by the Swiss National Bank, this paper evaluates the effectiveness of these interventions and examines their impact on exchange rate risk premia, as defined by deviations from interest rate parity. My results suggests that intervention (via its effect on the risk premium) may be responsible for the frequently observed failure of foreign exchange market efficiency models and for their poor out-of-sample forecasting performance.
