On Biases in the Measurement of Foreign Exchange Risk Premiums PDF Download
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Author: Geert Bekaert
Publisher:
ISBN:
Category : Foreign exchange
Languages : en
Pages : 56
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Book Description
Author: Geert Bekaert
Publisher:
ISBN:
Category : Foreign exchange
Languages : en
Pages : 56
Get Book Here
Book Description
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages : 30
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Book Description
Author: Geert BEKAERT
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Dionysios Chionis
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
Using a disaggregate survey data base, this paper re-examines the issue of the existence of a time-varying risk premia in three foreign exchange markets. Previous research on this topic has utilized a consensus measure of the risk premium, based on the rational expectations assumption, and is not supportive of the existence of such a premium. In contrast, this paper reports compelling evidence in favour of time-varying risk premia for the British pound, German mark and Japanese yen exchange rates. In particular, we demonstrate that consensus measures of the risk premium mask the existence of risk because of the importance of heterogeneous expectations.
Author: David R. Schuiteman
Publisher:
ISBN:
Category : Foreign exchange futures
Languages : en
Pages : 102
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Author: Neil Kellard
Publisher:
ISBN:
Category :
Languages : en
Pages : 36
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Author: Busakorn Wongwanit
Publisher:
ISBN:
Category : Behavioral assessment
Languages : en
Pages : 100
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Book Description
This study investigates whether the forward exchange rate is an unbiased predictor of future spot exchange rate. The empirical results by regression analysis show that the forward rate cannot predict the future spot exchange rate, particularly at longer periods. Therefore, this study aims to use behavioral interpretations explaining behind the inefficient forecasts of forward rates. The result clearly shows that behavioral interpretation is effective to explain such issues, indicating that all the examined currencies have similar patterns in the forecast revisions processes. Moreover, the evidences of this research also show that the FRUH do almost hold at shorter periods, and the longer periods, the more behavioral biases occur. Also, after controlling for time-varying risk premium in the regression, the markets reflect a more balanced mood over time and approach the FRUH.
Author: Ronald MacDonald
Publisher: Routledge
ISBN: 1134838220
Category : Foreign exchange
Languages : en
Pages : 334
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Book Description
''In summary, the book is valuable as a textbook both at the advanced undergraduate level and at the graduate level. It is also very useful for the economist who wants to be brought up-to-date on theoretical and empirical research on exchange rate behaviour.'' ""Journal of International Economics""
Author: Gustavo Adler
Publisher: International Monetary Fund
ISBN: 148433230X
Category : Business & Economics
Languages : en
Pages : 37
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Book Description
The accumulation of large foreign asset positions by many central banks through sustained foreign exchange (FX) intervention has raised questions about its associated fiscal costs. This paper clarifies conceptual issues regarding how to measure these costs both from an ex-post and an ex-ante (relevant for decision making) perspective, and estimates both marginal and total costs for 73 countries over the period 2002-13. We find ex-ante marginal costs for the median emerging market economy (EME) in the inter-quartile range of 2-5.5 percent per year; while ex-ante total costs (of sustaining FX positions) in the range of 0.2-0.7 percent of GDP per year for light interveners and 0.3-1.2 percent of GDP per year for heavy interveners. These estimates indicate that fiscal costs of sustained FX intervention (via expanding central bank balance sheets) are not negligible.
Author: Mr.D. F. I. Folkerts-Landau
Publisher: International Monetary Fund
ISBN: 1451979614
Category : Business & Economics
Languages : en
Pages : 54
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Book Description
In an environment of sizable and volatile capital flows and integrated international capital markets, large and unhedged net external sovereign liabilities expose countries to swings in international asset prices and to potential speculative currency attacks. The paper argues that an essential step in reducing emerging market vulnerability to such external shocks is to reform the institutional arrangements governing asset and liability management policies, so as to promote a transparent, publicly accountable, and professional incentive structure.
