The 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.

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.

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.

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.

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.

The Foreign Exchange Risk Premium

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Author : Lars Hörngren
language : en
Publisher:
Release Date : 1986

The Foreign Exchange Risk Premium written by Lars Hörngren and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1986 with Foreign exchange categories.

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.

Tests Of The Foreign Exchange Risk Premium Using The Expected Second Moments Implied By Option Pricing

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Author : Richard K. Lyons
language : en
Publisher:
Release Date : 1986

Tests Of The Foreign Exchange Risk Premium Using The Expected Second Moments Implied By Option Pricing written by Richard K. Lyons and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1986 with Foreign exchange categories.

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.