The Risk Premium and the Liquidity Premium in Foreign Exchange Markets PDF Download
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Author: Charles M. Engel
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Author: Charles M. Engel
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
Author: Charles Engel
Publisher:
ISBN:
Category : Foreign exchange
Languages : en
Pages : 42
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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 C. SIBERT
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Anne Sibert
Publisher:
ISBN:
Category : Fiscal policy
Languages : en
Pages : 50
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Author: Mitsuhiro Fukao
Publisher: Ann Arbor, Mich. : University Microfilms International
ISBN:
Category : Equilibrium (Economics)
Languages : en
Pages : 164
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Book Description
exchange rate from its equilibrium rate is determined by a real interest differential and a risk premium which depends on both the balance of indebtedness and on the estimated variance matrix of future spot-exchange rates.
Author: Yakov Amihud
Publisher: Now Publishers Inc
ISBN: 1933019123
Category : Business & Economics
Languages : en
Pages : 109
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Book Description
Liquidity and Asset Prices reviews the literature that studies the relationship between liquidity and asset prices. The authors review the theoretical literature that predicts how liquidity affects a security's required return and discuss the empirical connection between the two. Liquidity and Asset Prices surveys the theory of liquidity-based asset pricing followed by the empirical evidence. The theory section proceeds from basic models with exogenous holding periods to those that incorporate additional elements of risk and endogenous holding periods. The empirical section reviews the evidence on the liquidity premium for stocks, bonds, and other financial assets.
Author: Stanley W. Black
Publisher:
ISBN:
Category : Foreign exchange
Languages : en
Pages : 19
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Author: Cristino Arroyo
Publisher:
ISBN:
Category : Efficient market theory
Languages : en
Pages : 40
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Author: Mr.Akito Matsumoto
Publisher: International Monetary Fund
ISBN: 1455264458
Category : Business & Economics
Languages : en
Pages : 38
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Book Description
What is global liquidity and how does it affect an economy? The paper addresses that question by looking at liquidity from two different perspectives: global liquidity as availability of funds in safe and risky asset markets. This distinction between safe and risky asset markets is important due to market segmentation, which called for unconventional monetary policy to restore a function of risky asset markets. To analyze the effect of global liquidity, I construct proxy variables and then asses how they affect an emerging economy whose interest rate is affected by a world risk-free rate and a risk premium. Using the data from four major Latin American countries, I find that these two aspects of global liquidity have similar effects on economic performance in emerging market economies except for their effect on inflation.
