Foreign Exchange Risk Premium Determinants
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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.
Working Paper No 06 16 Foreign Exchange Risk Premium Determinants
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Author :
language : en
Publisher:
Release Date :
Working Paper No 06 16 Foreign Exchange Risk Premium Determinants written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on with categories.
The Foreign Exchange Risk Premium
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Author :
language : en
Publisher:
Release Date : 2001
The 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 2001 with categories.
Determinants Of Currency Risk Premiums
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Author : John A. Carlson
language : en
Publisher:
Release Date : 2006
Determinants Of Currency Risk Premiums written by John A. Carlson 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.
This paper presents a theoretical model of exchange-rate determination intended to address the forward premium puzzle. It also explains the empirical observation that risk premiums depend on interest differentials. The model's closed-form solution indicates that currency risk premiums depend on two factors: interest differentials and the current deviation of the exchange rate from its long-run equilibrium. If speculators have an alternative to exchange-rate speculation, then there is no presumption that uncovered interest parity holds even approximately in long-run equilibrium. The model is consistent with existing evidence suggesting that forward premiums are negatively related to rationally expected future exchange rate changes. New empirical evidence is provided in support of the model.
Pricing Currency Risk
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Author : Sergio L. Schmukler
language : en
Publisher:
Release Date : 2002
Pricing Currency Risk written by Sergio L. Schmukler and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with Capital costs categories.
Hard pegs, such as currency boards, intend to reduce or even eliminate currency risk. This paper investigates the patterns and determinants of the currency risk premium in two currency boards -- Argentina and Hong Kong. Despite the presumed rigidity of currency boards, the currency premium is almost always positive and at times very large. Its term structure is usually upward sloping, but flattens out or even becomes inverted at times of turbulence. Currency premia differ across markets. The forward discount typically exceeds the currency premium derived from interbank rates, particularly during crisis times. The large magnitude of these cross-market differences can be the consequence of unexploited arbitrage opportunities, market segmentation, or other risks embedded in typical measures of currency risk. The premium and its term structure depend on domestic and global factors, related to devaluation expectations and risk perceptions.
Foreign Exchange Risk Premia And Welfare In A Stochastic Small Open Economy Model
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Author : Lynne Evans
language : en
Publisher:
Release Date : 2001
Foreign Exchange Risk Premia And Welfare In A Stochastic Small Open Economy Model written by Lynne Evans and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with categories.
This paper constructs a stochastic general equilibrium model of a small open economy consisting of risk-averse optimising agents with unconventional preferences. We use this model (i) to analyze the determinants of the foreign exchange rate risk premium; (ii) to explore the importance of unconventional preferences for the foreign exchange rate risk premium; and (iii) to conduct a numerical analaysis of the forex risk premium. Our model is distinguished from many of those in the literature by a number of features. Firstly, our dynamic general equilibrium model incorporates portfolio choice thereby giving rise to an integrated analysis of exchange rate determination with a risk-adjusted PPP and portfolio equilibrium. Secondly, the model includes a recursive utility function that disentangles risk aversion from intertemporal substitution thereby enabling an analysis of the distinct roles played by agents' attitudes towards risk and intertemporal substitution. Thirdly, in preference to using a two-country model, we specifically model a small open economy which takes the world interest rate as given. Fourthly, we have an exact stochastic model rather than the stochastic approximations (through Markov chains) more commonly adopted in the literature; and, fifthly, the model is constructed in continuous, not discrete, time. We find that the equilibrium forex risk premium is a function of exogenous shocks in the model and is sensitive to assumed attitudes towards risk and intertemporal substitution. Furthermore, taking plausible values for the preference parameters, together with other data-driven parameter values, the model generates a value for the forex risk premium which is close to that found in the data.
Determinants Of Currency Risk Premiums
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Author : John A. Carlson
language : en
Publisher:
Release Date : 1998
Determinants Of Currency Risk Premiums written by John A. Carlson and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with Foreign exchange futures categories.
Exchange Rate Risk Premium
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Author : Guillermo Benavides
language : en
Publisher:
Release Date : 2016
Exchange Rate Risk Premium written by Guillermo Benavides and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
The objective of this paper is to analyze what are the main determinants of the exchange rate risk premium (ERP). The empirical case is conducted for the daily Mexican peso-USD for a simple period from 2007 until 2015. According to the results the ERP is influenced by several financial variables which are the VIX, a carry trade index, the EMBI and the forward premium. These results are in line with previous results in the literature that have proven that exchange rate premium are influenced by several financial variables, which are usually considered as 'proxies' of risk.
The Forward Risk Premium Demand For Money And International Financial Markets Microform
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Author : Li Cui
language : en
Publisher: Ann Arbor, Mich. : University Microfilms International
Release Date : 2000
The Forward Risk Premium Demand For Money And International Financial Markets Microform written by Li Cui and has been published by Ann Arbor, Mich. : University Microfilms International this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with categories.
This thesis explores two aspects of international money and financial markets. First, I analyze the determinants of the foreign exchange forward risk premium. Second, I study the demand for money in different countries.