Conditional Variance and the Risk Premium in the Foreign Exchange Market
Title | Conditional Variance and the Risk Premium in the Foreign Exchange Market PDF eBook |
Author | Ian Domowitz |
Publisher | |
Pages | 50 |
Release | 1983 |
Genre | Foreign exchange |
ISBN |
Intervention and the Foreign Exchange Risk Premium
Title | Intervention and the Foreign Exchange Risk Premium PDF eBook |
Author | Owen F. Humpage |
Publisher | |
Pages | 40 |
Release | 1990 |
Genre | Banks and banking, Central |
ISBN |
Recent Estimates of Time-variation in the Conditional Variance and in the Exchange Risk Premium
Title | Recent Estimates of Time-variation in the Conditional Variance and in the Exchange Risk Premium PDF eBook |
Author | Jeffrey A. Frankel |
Publisher | |
Pages | 38 |
Release | 1987 |
Genre | Analysis of variance |
ISBN |
The optimal-diversification model of investors' portfolio behavior can give a linear relationship between the exchange risk premium and the conditional exchange rate variance. This note surveys recent empirical work that allows for the conditional variance itself, and therefore the risk premium, to vary over time. In particular, it examines the implications of recent empirical estimates for earlier arguments, based on the assumption that the conditional variance was constant over time, that the exchange risk premium had to be small in magnitude and variability.
On Biases in the Measurement of Foreign Exchange Risk Premiums
Title | On Biases in the Measurement of Foreign Exchange Risk Premiums PDF eBook |
Author | Geert Bekaert |
Publisher | |
Pages | 56 |
Release | 1993 |
Genre | Foreign exchange |
ISBN |
Determinants of the Foreign Exchange Risk Premium in Gulf Cooperation Council Countries
Title | Determinants of the Foreign Exchange Risk Premium in Gulf Cooperation Council Countries PDF eBook |
Author | Mr.Tigran Poghosyan |
Publisher | International Monetary Fund |
Pages | 26 |
Release | 2010-11-01 |
Genre | Business & Economics |
ISBN | 1455209554 |
This paper analyzes macroeconomic determinants of the foreign exchange risk premium in two Gulf Cooperation Council (GCC) countries that peg their currencies to the U.S. dollar: Saudi Arabia and the United Arab Emirates. The analysis is based on the stochastic discount factor methodology, which imposes a no arbitrage condition on the relationship between the foreign exchange risk premium and its macroeconomic determinants. Estimation results suggest that U.S. inflation and consumption growth are important factors driving the risk premium, which is in line with the standard C-CAPM model. In addition, growth in international oil prices influences the risk premium, reflecting the important role played by the hydrocarbon sector in GCC economies. The methodology employed in this paper can be used for forecasting the risk premium on a monthly basis, which has important practical implications for policymakers interested in the timely monitoring of risks in the GCC.
Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets
Title | Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets PDF eBook |
Author | Robert J. Hodrick |
Publisher | CRC Press |
Pages | 190 |
Release | 2023-08-18 |
Genre | Mathematics |
ISBN | 1000943380 |
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.
The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets
Title | The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets PDF eBook |
Author | R. Hodrick |
Publisher | Routledge |
Pages | 131 |
Release | 2014-05-01 |
Genre | Business & Economics |
ISBN | 1136455280 |
Robert Hodrick provides a foundation for developing quantitive measures of risk and expected return in international finance.