Foreign Exchange Risk Premium
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Foreign Exchange Risk Premium
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Author : Mr.Lorenzo Giorgianni
language : en
Publisher: International Monetary Fund
Release Date : 1997-04-01
Foreign Exchange Risk Premium written by Mr.Lorenzo Giorgianni 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 1997-04-01 with Business & Economics categories.
This paper challenges the conventional view that foreign exchange risk premiums are small, not volatile, and unrelated to macroeconomic variables. For the Italian lira (1987-94), unconditional risk premiums—constructed using survey data to measure exchange rate expectations—are found to be sizable (relative to the dimension of the forward premium), highly volatile (relative to the variability of the forward bias), and predictable. Estimation of structural models of the risk premium suggests that anticipated fiscal contractions in Italy and lower uncertainty about the future path of fiscal policy are associated with a lower risk premium on lira-denominated assets.
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.
Foreign Exchange Risk Premium Determinants
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Author : Tigran Poghosyan
language : cs
Publisher:
Release Date : 2006
Foreign Exchange Risk Premium Determinants written by Tigran Poghosyan 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.
Determinants Of The Foreign Exchange Risk Premium In Gulf Cooperation Council Countries
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Author : Mr.Tigran Poghosyan
language : en
Publisher: International Monetary Fund
Release Date : 2010-11-01
Determinants Of The Foreign Exchange Risk Premium In Gulf Cooperation Council Countries written by Mr.Tigran Poghosyan 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 2010-11-01 with Business & Economics categories.
This paper analyzes macroeconomic determinants of the foreign exchange risk premium in two Gulf Cooperation Council (GCC) countries that peg their currencies to the U.S. dollar: Saudi Arabia and the United Arab Emirates. The analysis is based on the stochastic discount factor methodology, which imposes a no arbitrage condition on the relationship between the foreign exchange risk premium and its macroeconomic determinants. Estimation results suggest that U.S. inflation and consumption growth are important factors driving the risk premium, which is in line with the standard C-CAPM model. In addition, growth in international oil prices influences the risk premium, reflecting the important role played by the hydrocarbon sector in GCC economies. The methodology employed in this paper can be used for forecasting the risk premium on a monthly basis, which has important practical implications for policymakers interested in the timely monitoring of risks in the GCC.
The Exchange Risk Premium Uncovered Unterest Parity And The Treatment Of Exchange Rates In Multicountry Macroeconomic Models
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Author : Ralph C. Bryant
language : en
Publisher:
Release Date : 1995
The Exchange Risk Premium Uncovered Unterest Parity And The Treatment Of Exchange Rates In Multicountry Macroeconomic Models written by Ralph C. Bryant and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995 with Foreign exchange categories.
The Foreign Exchange Risk Premium In A Target Zone With Devaluation Risk
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Author : Lars E. O. Svensson
language : en
Publisher:
Release Date : 1991
The Foreign Exchange Risk Premium In A Target Zone With Devaluation Risk written by Lars E. O. Svensson and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991 with Foreign exchange categories.
Intervention And The Foreign Exchange Risk Premium
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Author : Owen F. Humpage
language : en
Publisher:
Release Date : 1990
Intervention And The Foreign Exchange Risk Premium written by Owen F. Humpage and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990 with Banks and banking, Central categories.
On Biases In The Measurement Of Foreign Exchange Risk Premium
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Author :
language : en
Publisher:
Release Date : 1991
On Biases In The Measurement Of Foreign Exchange Risk Premium written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991 with categories.
Foreign Exchange Rate Exposure And Risk Premium In International Investments
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Author : Sung C. Bae
language : en
Publisher:
Release Date : 2007
Foreign Exchange Rate Exposure And Risk Premium In International Investments written by Sung C. Bae and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.
We examine how exchange rate changes affect the security returns and how economic and translation exposure components of exchange rate risk are priced across countries. Employing ADRs of four countries, we document four main findings. First, exchange rate changes are negatively related to underlying share returns of ADRs, but positively to ADR returns observed in the U.S. markets. Second, ADR returns are more closely related to local market returns than U.S. market returns, indicating that the local market environment plays a bigger role in determining ADR returns. Third, U.S. and local investors require different risk premiums for exchange rate risk present in ADR investments. Fourth, both the source (economic or translation exposure) and magnitude (high or low) of the exchange risk premium vary across countries. We obtain robust empirical findings for both country ADR portfolios and individual ADRs.
On Biases In The Measurement Of Foreign Exchange Risk Premiums
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Author : Geert Bekaert
language : en
Publisher:
Release Date : 1993
On Biases In The Measurement Of Foreign Exchange Risk Premiums written by Geert Bekaert and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with Foreign exchange categories.