A Study of Risk Premiums in the Foreign Exchange Market PDF Download
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Author: Bonghan Kim
Publisher:
ISBN:
Category :
Languages : en
Pages : 238
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Author: Bonghan Kim
Publisher:
ISBN:
Category :
Languages : en
Pages : 238
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Author: Mr.Lorenzo Giorgianni
Publisher: International Monetary Fund
ISBN: 1451845790
Category : Business & Economics
Languages : en
Pages : 40
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Book Description
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.
Author: Anne Sibert
Publisher:
ISBN:
Category : Fiscal policy
Languages : en
Pages : 50
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Author: Dennis Bams
Publisher:
ISBN:
Category : Dollar, American
Languages : en
Pages : 42
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Author: Geert Bekaert
Publisher:
ISBN:
Category : Devaluation of currency
Languages : en
Pages : 60
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The hypothesis that the forward rate is an unbiased predictor of the future spot rate has been consistently rejected in recent empirical studies. This paper examines several sources of measurement error and misspecification that might induce biases in such studies. Although previous inferences are shown to be robust to a failure to construct true returns and to omitted variable bias arising from conditional heteroskedasticity in spot rates, we show that the parameters were not stable over the 1975-1989 sample period. Estimation that allows for endogenous regime shifts in the parameters demonstrates that deviations from unbiasedness were more severe in the 1980's.
Author: Ian Domowitz
Publisher:
ISBN:
Category : Foreign exchange
Languages : en
Pages : 50
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Author: Fabio Canova
Publisher:
ISBN:
Category : Foreign exchange
Languages : en
Pages : 52
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The purpose of this paper is to characterize the changes in risk premium in the 1980s. A five-variable vector autoregressive model (VAR) is constructed to calculate a risk premium series in the foreign exchange market. The risk premium series is volatile and time-varying. The hypothesis of no risk premium is strongly rejected for the entire sample and each of the two subsamples considered. Various tests using the constructed risk premium series suggest that a risk premium existed but it was neither constant nor stable over subsamples and that its volatility was considerably reduced after October 1982.
Author: Robert J. Hodrick
Publisher: CRC Press
ISBN: 1000943380
Category : Mathematics
Languages : en
Pages : 190
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Book Description
This book presents a critical review of the empirical literature that studies the efficiency of the forward and futures markets for foreign exchange. It provides a useful foundation for research in developing quantitative measures of risk and expected return in international finance.
Author: Charles Engel
Publisher:
ISBN:
Category : Foreign exchange
Languages : en
Pages : 42
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Author: René Garcia
Publisher:
ISBN: 9780662289609
Category : Foreign exchange rates
Languages : en
Pages : 42
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