Zobrazeno 1 - 10
of 32
pro vyhledávání: '"Foreign exchange risk premium"'
Autor:
Seongman Moon
Publikováno v:
East Asian Economic Review, Vol 19, Iss 1, Pp 3-38 (2015)
Fama's (1984) volatility relations show that the risk premium in foreign exchange markets is more volatile than, and is negatively correlated with the expected rate of depreciation. This paper studies these relations from the perspective of goods mar
Externí odkaz:
https://doaj.org/article/dd5495dc38cd4331821f15eabdb408dd
Autor:
Kenc, Turalay, Evans, L.
We compare actual and calibrated values for the foreign exchange risk premium based on the definition in [J. Int. Econ. 32 (1992) 305]. Calibrated values are found from within a dynamic stochastic general equilibrium model of a small open economy con
Externí odkaz:
http://hdl.handle.net/10454/3135
Autor:
Charles Engel
The well-known uncovered interest parity puzzle arises from the empirical regularity that, among developed country pairs, the high interest rate country tends to have high expected returns on its short term assets. At the same time, another strand of
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::020b8457e4c743250f4dced85a2c27fe
http://www.nber.org/papers/w17116.pdf
http://www.nber.org/papers/w17116.pdf
Autor:
Engel, Charles
The well-known uncovered interest parity puzzle arises from the empirical regularity that, among developed country pairs, the high interest rate country tends to have high expected returns on its short term assets. At the same time, another strand of
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1687::9ca11f4a6bd56d7376536dcad916ec10
https://hdl.handle.net/10419/68511
https://hdl.handle.net/10419/68511
Autor:
Binici, Mahir, Cheung, Yin-wong
We explore the role of interest rate policy in the exchange rate determination process. Specifically, we derive exchange rate equations from interest rate rules that are theoretically optimal under a few alternative settings. The exchange rate equati
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1687::6d9eaa6befd0d12f872e7124eee68792
https://hdl.handle.net/10419/52479
https://hdl.handle.net/10419/52479
Autor:
Mahir Binici, Yin-Wong Cheung
Publikováno v:
SSRN Electronic Journal.
We explore the role of interest rate policy in the exchange rate determination process. Specifically, we derive exchange rate equations from interest rate rules that are theoretically optimal under a few alternative settings. The exchange rate equati
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::bf5e277f24ce0871d807ac42488f788a
https://doi.org/10.2139/ssrn.1931495
https://doi.org/10.2139/ssrn.1931495
Theories of systemic risk suggest that financial intermediaries' balance-sheet constraints amplify fundamental shocks. We provide supportive evidence for such theories by decomposing the U.S. dollar risk premium into components associated with macroe
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1687::506e50491b2b618da5a4d092e7a58db9
https://hdl.handle.net/10419/60926
https://hdl.handle.net/10419/60926
Autor:
Seongman Moon
Publikováno v:
Seongman Moon
Fama’s (1984) volatility relations show that the risk premium in foreign exchange markets is more volatile than, and is negatively correlated with the expected rate of depreciation. This paper studies these relations from the perspective of goods m
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::1e8cb31cc71cd27a91ff72777af0ac95
http://e-archivo.uc3m.es/bitstream/handle/10016/830/we074924.pdf?sequence=1
http://e-archivo.uc3m.es/bitstream/handle/10016/830/we074924.pdf?sequence=1
Autor:
Moon, Seongman
Publikováno v:
e-Archivo. Repositorio Institucional de la Universidad Carlos III de Madrid
instname
instname
Fama’s (1984) volatility relations show that the risk premium in foreign exchange markets is more volatile than, and is negatively correlated with the expected rate of depreciation. This paper studies these relations from the perspective of goods m
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::e92317e2477d50aab506fe44fd124b58
https://hdl.handle.net/10016/830
https://hdl.handle.net/10016/830
Autor:
González, Fernando, Launonen, Simo
We assess monetary convergence preceding the implementation of the European Monetary Union (EMU) through Kalman filtering estimates of the risk premium of eleven forward exchange rates of European and non-European currencies. Since all participating
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1687::a63407a6e67ba0ffa6e07ad1d785da5b
https://hdl.handle.net/10419/153003
https://hdl.handle.net/10419/153003