Currency Risk Premia Redux
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Currency Risk Premia Redux
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Author : Federico Nucera
language : en
Publisher:
Release Date : 2023
Currency Risk Premia Redux written by Federico Nucera and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023 with Assets (Accounting) categories.
We study a large currency cross section using asset pricing methods which account for omitted-variable and measurement-error biases. First, we show that the pricing kernel includes at least three latent factors which resemble (but are not identical to) a strong U.S. “Dollar” factor, and two weak, high Sharpe ratio “Carry” and “Momentum” slope factors. Evidence for an additional “Value” factor is weaker. Second, using this pricing kernel, we find that only a small fraction of the over 100 nontradable candidate factors considered have a statistically significant risk premium -- mostly relating to volatility, uncertainty and liquidity conditions, rather than macro variables.
Currency Risk Premia In Global Stock Markets
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Author : Shaun K. Roache
language : en
Publisher: International Monetary Fund
Release Date : 2006-08
Currency Risk Premia In Global Stock Markets written by Shaun K. Roache and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-08 with Business & Economics categories.
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.
Currency Risk Premia In Global Stock Markets
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Author : Shaun K. Roache
language : en
Publisher:
Release Date : 2006
Currency Risk Premia In Global Stock Markets written by Shaun K. Roache and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Banks and banking, Central categories.
Foreign Exchange Risk Premium
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Author : Lorenzo Giorgianni
language : en
Publisher:
Release Date : 1997
Foreign Exchange Risk Premium written by Lorenzo Giorgianni and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with Fiscal policy categories.
Currency Risk Premia In Global Stock Market
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Author : Shaun K. Roache
language : en
Publisher:
Release Date : 2006
Currency Risk Premia In Global Stock Market written by Shaun K. Roache and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
Currency Risk Premia From A Swiss Perspective
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Author : Phoebe Liu
language : en
Publisher:
Release Date : 2011
Currency Risk Premia From A Swiss Perspective written by Phoebe Liu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.
Currency Risk Premia In Emerging Markets
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Author : Stephan Kranner
language : en
Publisher:
Release Date : 2018
Currency Risk Premia In Emerging Markets written by Stephan Kranner and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
Understanding the dynamics of time-varying currency risk premia is the central issue of current empirical FX research. Since most findings, however, are based on developed market (DM) currencies, this paper contributes in such a way that it explicitly analyzes the specific dynamics of emerging market (EM) currencies. We use the well-documented Harrod-Balassa-Samuelson effect to relax the assumption of long-run purchasing power parity, which cannot be assumed to hold for EM economies. We show that the interest rate differential is the best positive predictor of short-run currency returns, while the real exchange rate (RER) is a better negative predictor over longer horizons. Interestingly, the positive relation between the interest rate differential and future currency returns reverses at a 6-months time horizon for EM currencies. Besides that, we find that - in contrast to DM currencies - high-yield EM currencies do not tend to appreciate over the short-run, and that the predictive power of the RER is the strongest for the lowest 12-months ahead EM currency returns, while it becomes insignificant for the highest 12-months returns.
Systematic Intervention And Currency Risk Premia
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Author : Marcel Fratzscher
language : en
Publisher:
Release Date : 2021
Systematic Intervention And Currency Risk Premia written by Marcel Fratzscher and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021 with categories.
Countercyclical Currency Risk Premia
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Author : Hanno Lustig
language : en
Publisher:
Release Date : 2010
Countercyclical Currency Risk Premia written by Hanno Lustig and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Economics categories.
Currency excess returns are predictable, more than stock returns, and about as much as bond returns. The average forward discount of the dollar against developed market currencies is the best predictor of average foreign currency excess returns earned by U.S. investors on a long position in a large basket of foreign currencies and a short position in the dollar. The predicted excess returns on baskets of foreign currency are strongly counter-cyclical because they inherit the cyclical properties of the average forward discount. This counter-cyclical dollar risk premium compensates U.S. investors for taking on U.S.-specific risk in foreign exchange markets by shorting the dollar. Macroeconomic variables such as the rate of U.S. industrial production growth increase the predictability of average foreign currency excess returns even when controlling for the forward discount -- National Bureau of Economic Research web site.
Base Currency Risk
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Author : Edward Conway
language : en
Publisher: Createspace Independent Publishing Platform
Release Date : 2014-06-08
Base Currency Risk written by Edward Conway and has been published by Createspace Independent Publishing Platform this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-06-08 with categories.
This groundbreaking short book will change the way you think about currencies, prices, income, risk, asset pricing and risk premia. Adapted from the author's Oxford University thesis it generalises and corrects for a major bias in existing theory, then shows that periods of high volatility and high correlation should coincide, proves that forward prices are biased predictors of future spot prices, rescues consumption-based asset pricing from a newly discovered vulnerability, rationalises an astonishing amendment to CAPM, and proposes a new solution to the Equity Risk Premium Puzzle.