Exchange Rate Volatilies And Time Varying Risk Premium In East Asia
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Exchange Rate Volatilities And Time Varying Risk Premium In East Asia
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Author : Chae-sik Chŏng
language : en
Publisher: KIEP
Release Date : 2004
Exchange Rate Volatilities And Time Varying Risk Premium In East Asia written by Chae-sik Chŏng and has been published by KIEP this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Foreign exchange rates categories.
Exchange Rate Volatilities And Time Varying Risk Premium In East Asia
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Author : Chae-Shick Chung
language : en
Publisher:
Release Date : 2004
Exchange Rate Volatilities And Time Varying Risk Premium In East Asia written by Chae-Shick Chung and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Foreign exchange rates categories.
Exchange Rate Volatilies And Time Varying Risk Premium In East Asia
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Author : Chae-sik Chŏng
language : en
Publisher:
Release Date : 2004
Exchange Rate Volatilies And Time Varying Risk Premium In East Asia written by Chae-sik Chŏng and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Foreign exchange rates categories.
Exchange Rate Risk Management
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Author : George Allayannis
language : en
Publisher: World Bank Publications
Release Date : 2001
Exchange Rate Risk Management written by George Allayannis and has been published by World Bank Publications this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Debts, External categories.
In a large sample of East Asian nonfinancial corporations, firms using foreign currency derivatives had distinctive characteristics, such as larger size and foreign debt exposures. Unlike in studies of U.S. firms, there was only weak evidence that liquidity-constrained firms with greater growth opportunities hedged more. Firms appeared to use foreign earnings as a substitute for hedging with derivatives, and to engage in "selective" hedging. There was no evidence that East Asian firms eliminated their foreign exchange exposure by using derivatives. And firms using derivatives before the crisis performed just as poorly as nonhedgers during the crisis.
Time Varying Risk Premia In Foreign Exchange And Equity Markets
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Author : Chu-Sheng Tai
language : en
Publisher:
Release Date : 2000
Time Varying Risk Premia In Foreign Exchange And Equity Markets written by Chu-Sheng Tai and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with categories.
One of the puzzles in international finance literature is the deviations from Uncovered Interest Parity (UIP). In this paper, I further examine the validity of the risk premia hypothesis in explaining this puzzle by testing a conditional international CAPM (ICAPM) in the absence of Purchasing Power Parity (PPP) using data from both foreign exchange and equity markets in Asia-Pacific countries. When considering foreign exchange markets only, I find that conditional variances are not related to the deviations from UIP in any statistical sense based on an univariate GARCH(1,1)-M model. However, as I consider both foreign exchange and equity markets together and test the conditional ICAPM in the absence of PPP, I can not reject the model based on the J-test by Hansen (Econometrica 50 (1982), 1029-1054), and find significant time-varying market and foreign exchange risk premia presented in the data. This empirical evidence supports the notion of time-varying risk premia in explaining the deviations from UIP. It also supports the idea that the foreign exchange risk is not diversifiable and hence should be priced in both markets.Key Words: International asset pricing, Uncovered interest parity, Time-varying risk premium, GARCH, GMM.
The Behavior Of Stock Prices And Time Varying Risk Premium
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Author : Kanokwan Chancharoenchai
language : en
Publisher:
Release Date : 2002
The Behavior Of Stock Prices And Time Varying Risk Premium written by Kanokwan Chancharoenchai and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with Korea (South) categories.
Market Volatility And Foreign Exchange Intervention In Emes
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Author : Banco de Pagos Internacionales (Basilea, Suiza). Departamento Monetario y Económico
language : es
Publisher:
Release Date : 2013
Market Volatility And Foreign Exchange Intervention In Emes written by Banco de Pagos Internacionales (Basilea, Suiza). Departamento Monetario y Económico and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with Banks and banking, Central categories.
Macroeconomic Volatility Institutions And Financial Architectures
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Author : J. Fanelli
language : en
Publisher: Springer
Release Date : 2008-01-17
Macroeconomic Volatility Institutions And Financial Architectures written by J. Fanelli and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-01-17 with Business & Economics categories.
The deregulation of domestic financial markets and the capital account in developing countries has frequently been associated with financial turmoil and macro volatility. The book analyzes the experiences of several countries, drawing implications for building development-friendly domestic and international financial architectures.
Monetary And Currency Policy Management In Asia
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Author : Masahiro Kawai
language : en
Publisher: Edward Elgar Publishing
Release Date : 2012-01-01
Monetary And Currency Policy Management In Asia written by Masahiro Kawai and has been published by Edward Elgar Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-01-01 with Business & Economics categories.
Asian economies strengthened their monetary and currency management after the Asian financial crisis of 19971998, and came through the global financial crisis of 20072009 relatively well. Nevertheless, the recent global crisis has presented new challenges. This book develops recommendations for monetary and currency policy in Asian economies aimed at promoting macroeconomic and financial stability in an environment of global economic shocks and volatile capital flows. Monetary and Currency Policy Management in Asia draws lessons from crises and makes concrete macroeconomic policy recommendations aimed at minimizing the impacts of an economic and financial downturn, and setting the stage for an early return to sustainable growth. The focus is on short-term measures related to the cycle. The three main areas addressed are: monetary policy measures, both conventional and unconventional, to achieve both macroeconomic and financial stability; exchange rate policy and foreign exchange reserve management, including the potential for regional cooperation to stabilize currency movements; and ways to ease the constraints on policy resulting from the so-called 'impossible trinity' of fixed exchange rates, open capital accounts and independent monetary policy. This is one of the first books since the global financial crisis to specifically and comprehensively address the implications of the crisis for monetary and currency policy in emerging market economies, especially in Asia. Presenting a broad menu of policy options for financial reform and regulation, the book will be of great interest to finance experts and policymakers in the region as well as academics and researchers of financial and Asian economics as well as economic development.
Quantitative Exchange Rate Economics In Developing Countries
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Author : M. Rusydi
language : en
Publisher: Springer
Release Date : 2007-07-12
Quantitative Exchange Rate Economics In Developing Countries written by M. Rusydi and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-07-12 with Business & Economics categories.
This book examines the options for adopting an appropriate model of the exchange rate determination and its associated regime suitable for developing countries. It shows that a credible exchange rate regime and policy may mitigate the flight to currency from broad money, and ensure stability and certainty for private sectors.