Exchange Rate Volatilities 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.
Can Currency Risk Be A Source Of Risk Premium In Explaining Forward Premium Puzzle Evidence From Asia Pacific Forward Exchange Markets
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Author : Chu-Sheng Tai
language : en
Publisher:
Release Date : 2003
Can Currency Risk Be A Source Of Risk Premium In Explaining Forward Premium Puzzle Evidence From Asia Pacific Forward Exchange 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 2003 with categories.
This paper studies time-varying price of risk and volatility in Asia-Pacific forward exchange markets in an attempt to see whether currency risk can be a potential source of risk premium to explain forward premium puzzle. To derive a measure of the risk premium, a conditional version of international CAPM (ICAPM) in the absence of PPP is estimated and the parameter restrictions are tested based on asset pricing theories. To incorporate time-varying feature of the risk premium into the model, not only are the second moments of asset returns allowed to change over time by utilizing a parsimonious parameterization of the asymmetric multivariate GARCH with conditionally t-distributed error process (MGARCH-t), but also the prices of risks are permitted to evolve through time based on some predetermined information variables. Estimation results indicate that the not only are currency risks priced, but also change over time. In addition, the explanatory power of the model measured by pseudo-R^2 is relatively high with an average of 38.211%, suggesting that the predicted time-varying forward risk premia are both statistically and economically significant. Finally, both forward premium and its squared are statistically significant in describing the dynamics of currency risk prices, implying the non-linearity of forward risk premium, which sheds a new light in the estimation of international asset pricing model and on the test of forward premium puzzle.
Exchange Rates Shocks And Inter Dependency In East Asia
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Author : Sophie Saglio
language : en
Publisher: KIEP
Release Date : 2005
Exchange Rates Shocks And Inter Dependency In East Asia written by Sophie Saglio and has been published by KIEP this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with East Asia 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.