Author: Dimitris Margaritis
Publisher:
ISBN:
Category : Foreign exchange futures
Languages : en
Pages : 20

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Book Description

Author: Khosrow Fatemi
Publisher: Routledge
ISBN: 1136267441
Category : Business & Economics
Languages : en
Pages : 298

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Book Description
The need for continued analysis and evaluation of the international financial system is as pressing now as it was when this book was originally published. This volume provides an in-depth analysis of certain aspects of the international financial system. Specifically it addresses four of the most important financial and monetary issues of the present time: exchange rate, capital markets, international banking and external debt and international financial management.

Author: Khosrow Fatemi
Publisher: Routledge
ISBN: 0415538807
Category : Business & Economics
Languages : en
Pages : 298

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Book Description
The need for continued analysis and evaluation of the international financial system is as pressing now as it was when this book was originally published. This volume provides an in-depth analysis of certain aspects of the international financial system. Specifically it addresses four of the most important financial and monetary issues of the present time: exchange rate, capital markets, international banking and external debt and international financial management.

Author: Various
Publisher: Routledge
ISBN: 1136264922
Category : Business & Economics
Languages : en
Pages : 10558

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Book Description
Current interest in the history of money and banking remains strong and it is opportune to survey developments both in the UK, USA, Europe and Asia. This set provides historical analysis which incorporates research from the early twentieth century onwards in a form that is both accessible to students of money & banking and economists, economic historians and bankers This set re-issues 38 volumes originally published between 1900 and 2000. It charts the history of early banking, discusses banking in the UK, Europe,Japan and the USA, analyses banks as multinationals, the UK mortgage market, banking policy and structure and examines specific sectors such as gilts and gold.

Author: Murray Scott
Publisher:
ISBN:
Category : Elasticity (Economics)
Languages : en
Pages : 52

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Author: Graciela Laura Kaminsky
Publisher: International Monetary Fund
ISBN:
Category : Business & Economics
Languages : en
Pages : 40

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This paper undertakes an econometric investigation into the presence of risk premium in commodity futures markets. The statistical tests are derived from a formal model of asset pricing and are applied to futures prices in a variety of commodity markets. The results suggest that for several commodities there is evidence of a time varying risk premium, particularly in futures contracts maturing six months ahead. The implications of the study for the efficiency of the futures markets and the costs of using these markets for hedging are also noted.

Author: A. Grimes
Publisher:
ISBN:
Category : Banks and banking
Languages : en
Pages : 46

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Author: Shaun K. Roache
Publisher: International Monetary Fund
ISBN:
Category : Business & Economics
Languages : en
Pages : 32

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Book Description
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.

Author: Jason K. Wong
Publisher:
ISBN:
Category : Consumer price indexes
Languages : en
Pages : 44

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Author: Alberto Giovannini
Publisher:
ISBN:
Category : Business enterprises
Languages : en
Pages : 56

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Book Description
Recent empirical work indicates that, in a variety of financial markets, both conditional expectations and conditional variances of returns are time- varying. The purpose of this paper is to determine whether these joint fluctuations of conditional first and second moments are consistent with the Sharpe-Lintner-Mossin capital-asset-pricing model. We test the mean-variance model under several different assumptions about the time-variation of conditional second moments of returns, using weekly data from July 1974 to December 1986, that include returns on a portfolio composed of dollar, Deutsche mark, Sterling, and Swiss franc assets, together with the US stock market. The model is estimated constraining risk premia to depend on the time-varying conditional covariance matrix of the residuals of the expected returns equations. The results indicate that estimated conditional variances cannot explain the observed time-variation of risk premia. Furthermore, the constraints imposed by the static CAPH are always rejected.