Systematic Intervention And Currency Risk Premia
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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.
Systematic Intervention And Currency Risk Premia
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Author : Marcel Fratzscher
language : en
Publisher:
Release Date : 2019
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 2019 with categories.
Using data for the trades of 19 central banks intervening in currency markets, we show that stabilization policies by individual central banks lead to "systematic intervention" patterns. This systematic intervention is driven by and impacts on the same factors that drive currency excess returns: carry, momentum, value, and a dollar factor. The sensitivity of an individual central bank's intervention to these factors differs markedly across countries, with developed countries making a profit from intervention and emerging markets incurring large losses.
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.
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.
The Cross Section Of Currency Risk Premia And Consumption Growth Risk
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Author : Hanno Lustig
language : en
Publisher:
Release Date : 2005
The Cross Section Of Currency Risk Premia And Consumption Growth Risk 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 2005 with categories.
Note On The Cross Section Of Foreign Currency Risk Premia And Consumption Growth Risk
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Author : Hanno Lustig
language : en
Publisher:
Release Date : 2008
Note On The Cross Section Of Foreign Currency Risk Premia And Consumption Growth Risk 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 2008 with Capital assets pricing model categories.
We find that the US consumption growth beta of an investment strategy that goes long in high interest rate currencies and short in low interest rate currencies is larger than one. These consumption beta estimates are statistically significant, contrary to what is claimed by Burnside (2007). With these consumption betas, the Consumption-CAPM can account for the average return on this investment strategy of 5.3 percent per annum with a market price of consumption growth risk that is about 5 percent per annum, lower than the price of consumption risk implied by the US equity premium over the same sample. When we formally estimate the model on currency portfolios in a two-step procedure, our estimate of the price of consumption risk is significantly different from zero, even after accounting for the sampling uncertainty introduced by the estimation of the consumption betas, while the constant in the regression of average returns on consumption betas is not significant.
The Cross Section Of Foreign Currency Risk Premia And Consumption Growth Risk
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Author : Hanno Lustig
language : en
Publisher:
Release Date : 2008
The Cross Section Of Foreign Currency Risk Premia And Consumption Growth Risk 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 2008 with categories.
Abstract: The U.S. consumption growth beta of an investment strategy that goes long in high interest rate currencies and short in low interest rate currencies is large and significant. The price of consumption risk is significantly different from zero, even after accounting for the sampling uncertainty introduced by the estimation of the consumption betas. The constant in the regression of average returns on consumption betas is not significant. In addition, the consumption and market betas of this investment strategy increase during recessions and times of crisis, when risk prices are high, implying that the unconditional betas understate its riskiness. We use the recent crisis as an example
Currency Risk Premia Redux
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Author : Federico Nucera
language : en
Publisher:
Release Date : 2021
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 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.
The Cross Section Of Foreign Currency Risk Premia And Consumption Growth Risk
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Author : Hanno Lustig
language : en
Publisher:
Release Date : 2006
The Cross Section Of Foreign Currency Risk Premia And Consumption Growth Risk 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 2006 with Asset pricing categories.