Exchange Rate Volatilies and Time-varying Risk Premium in East Asia
Title | Exchange Rate Volatilies and Time-varying Risk Premium in East Asia PDF eBook |
Author | Chae-sik Chŏng |
Publisher | KIEP |
Pages | 78 |
Release | 2004 |
Genre | Foreign exchange rates |
ISBN |
Exchange Rate Volatilies and Time-varying Risk Premium in East Asia
Title | Exchange Rate Volatilies and Time-varying Risk Premium in East Asia PDF eBook |
Author | Chae-sik Chŏng |
Publisher | |
Pages | 0 |
Release | 2004 |
Genre | Foreign exchange rates |
ISBN | 9788932240268 |
Exchange Rate Volatilities and Time-varying Risk Premium in East Asia
Title | Exchange Rate Volatilities and Time-varying Risk Premium in East Asia PDF eBook |
Author | Chae-Shick Chung |
Publisher | |
Pages | 53 |
Release | 2004 |
Genre | Foreign exchange rates |
ISBN |
Exchange Rate Risk Management
Title | Exchange Rate Risk Management PDF eBook |
Author | George Allayannis |
Publisher | World Bank Publications |
Pages | 50 |
Release | 2001 |
Genre | Debts, External |
ISBN |
In a large sample of East Asian nonfinancial corporations, firms using foreign currency derivatives had distinctive characteristics, such as larger size and foreign debt exposures. Unlike in studies of U.S. firms, there was only weak evidence that liquidity-constrained firms with greater growth opportunities hedged more. Firms appeared to use foreign earnings as a substitute for hedging with derivatives, and to engage in "selective" hedging. There was no evidence that East Asian firms eliminated their foreign exchange exposure by using derivatives. And firms using derivatives before the crisis performed just as poorly as nonhedgers during the crisis.
Time-Varying Risk Premia in Foreign Exchange and Equity Markets
Title | Time-Varying Risk Premia in Foreign Exchange and Equity Markets PDF eBook |
Author | Chu-Sheng Tai |
Publisher | |
Pages | |
Release | 2000 |
Genre | |
ISBN |
One of the puzzles in international finance literature is the deviations from Uncovered Interest Parity (UIP). In this paper, I further examine the validity of the risk premia hypothesis in explaining this puzzle by testing a conditional international CAPM (ICAPM) in the absence of Purchasing Power Parity (PPP) using data from both foreign exchange and equity markets in Asia-Pacific countries. When considering foreign exchange markets only, I find that conditional variances are not related to the deviations from UIP in any statistical sense based on an univariate GARCH(1,1)-M model. However, as I consider both foreign exchange and equity markets together and test the conditional ICAPM in the absence of PPP, I can not reject the model based on the J-test by Hansen (Econometrica 50 (1982), 1029-1054), and find significant time-varying market and foreign exchange risk premia presented in the data. This empirical evidence supports the notion of time-varying risk premia in explaining the deviations from UIP. It also supports the idea that the foreign exchange risk is not diversifiable and hence should be priced in both markets.Key Words: International asset pricing, Uncovered interest parity, Time-varying risk premium, GARCH, GMM.
Global Volatility and Forex Returns in East Asia
Title | Global Volatility and Forex Returns in East Asia PDF eBook |
Author | Sanjay Kalra |
Publisher | International Monetary Fund |
Pages | 34 |
Release | 2008-09 |
Genre | Business & Economics |
ISBN |
During 2001-07, increases in mature market volatility were associated with declines in forex returns for East Asian countries, consistent with an overall "flight to safety" effect. Estimates from GARCH models suggest that a 5 percentage point increase in mature market equity volatility generated an exchange rate depreciation of up to 1⁄2 percent. This sensitivity rose during the latter period in the sample, suggesting greater integration of Asian financial markets with global markets. Unconditional standard deviations estimated from these models also provide operational measures of "long-term" and "excess" volatility in forex markets. Long-run forex volatility declined as Asian economies settled down with generally stronger fundamentals in the post-crisis period to more flexible regimes along with a generally lower level of mature market volatility.
Exchange Rate Volatilities and Time-varying Risk Premium in East Asia
Title | Exchange Rate Volatilities and Time-varying Risk Premium in East Asia PDF eBook |
Author | Chae-sik Chŏng |
Publisher | KIEP |
Pages | 70 |
Release | 2004 |
Genre | Foreign exchange rates |
ISBN | 9788932241630 |