The Risk Premium, Exchange Rate Expectations and the Forward Exchange Rate
Title | The Risk Premium, Exchange Rate Expectations and the Forward Exchange Rate PDF eBook |
Author | Stuart Landon |
Publisher | Department of Economics, University of Alberta |
Pages | 35 |
Release | 1999 |
Genre | |
ISBN |
The Risk Premium, Exchange Rate Expectations, and the Forward Exchange Rate : Estimates for the Yen-dollar Rate
Title | The Risk Premium, Exchange Rate Expectations, and the Forward Exchange Rate : Estimates for the Yen-dollar Rate PDF eBook |
Author | Stuart Landon |
Publisher | |
Pages | 35 |
Release | 1999 |
Genre | |
ISBN |
Foreign Exchange Risk Premium
Title | Foreign Exchange Risk Premium PDF eBook |
Author | Mr.Lorenzo Giorgianni |
Publisher | International Monetary Fund |
Pages | 40 |
Release | 1997-04-01 |
Genre | Business & Economics |
ISBN | 1451845790 |
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.
The "Exchange Risk Premium," Uncovered Unterest Parity, and the Treatment of Exchange Rates in Multicountry Macroeconomic Models
Title | The "Exchange Risk Premium," Uncovered Unterest Parity, and the Treatment of Exchange Rates in Multicountry Macroeconomic Models PDF eBook |
Author | Ralph C. Bryant |
Publisher | |
Pages | 120 |
Release | 1995 |
Genre | Foreign exchange |
ISBN |
Exchange Rate Expectations, the Forward Exchange Rate Bias and Risk Premia in Target Zones
Title | Exchange Rate Expectations, the Forward Exchange Rate Bias and Risk Premia in Target Zones PDF eBook |
Author | Marianne Nessén |
Publisher | |
Pages | 37 |
Release | 1994 |
Genre | |
ISBN |
Exchange Rate Expectations and the Risk Premium
Title | Exchange Rate Expectations and the Risk Premium PDF eBook |
Author | Jeffrey A. Frankel |
Publisher | |
Pages | 23 |
Release | 1991 |
Genre | Foreign exchange |
ISBN |
Survey data on a broad cross section of 17 currencies are used to determine whether the forward discount moves primarily in response to changes in expectations of depreciation, or in the risk premium. We find that changes in expected depreciation are quantitatively significant. However we also find evidence, in contrast to earlier studies involving only four or five major currencies, that variation in the risk premium constitutes a large part of variation in the forward discount as well.
Expectations and the Foreign Exchange Market
Title | Expectations and the Foreign Exchange Market PDF eBook |
Author | Craig Hakkio |
Publisher | Routledge |
Pages | 100 |
Release | 2017-04-21 |
Genre | Business & Economics |
ISBN | 1351801686 |
Originally published in 1984. This book examines two important dimensions of efficiency in the foreign exchange market using econometric techniques. It responds to the macroeconomics trend to re-examining the theories of exchange rate determination following the erratic behaviour of exchange rates in the late 1970s. In particular the text looks at the relation between spot and forward exchange rates and the term structure of the forward premium, both of which require a joint test of market efficiency and the equilibrium model. Approaches used are the regression of spot rates on lagged forward rates and an explicit time series analysis of the spot and forward rates, using data from Canada, the United Kingdom, the Netherlands, Switzerland and Germany.