Exchange rate risk premium : an analysis of its determinants for the Mexican Peso-USD

Guillermo Benavides (Banco de México)

The objective of this paper is to analyze what are the main determinants of the exchange rate risk premium (ERP). The empirical case is conducted for the daily Mexican peso-USD exchange rate for a sample period from 2007 until 2015. According to the results the ERP is influenced by several financial variables which are the VIX, a carry trade index, the EMBI and the forward premium obtained from derivatives' transaction orders. These results are in line with previous results in the literature that have proven that exchange rate premiums are influenced by several financial variables, which are usually considered as "proxies" of risk.

MoreLess

Year of publication:	June 2016
Authors:	Benavides, Guillermo
Publisher:	[Ciudad de México, México] : Banco de México
Subject:	Mexican peso-USD Exchange Rate \| Risk-Neutral Densities \| Risk premiums \| Risikoprämie \| Risk premium \| Mexiko \| Mexico \| Wechselkurs \| Exchange rate \| Währungsrisiko \| Exchange rate risk \| Schätzung \| Estimation

freely available

Full text |

More access options

www.banxico.org.mx

Check Google Scholar

In German libraries (KVK)

I need help

Extent:	1 Online-Ressource (circa 43 Seiten) Illustrationen
Series:	Working papers. - México, DF : [Verlag nicht ermittelbar], ZDB-ID 2157883-7. - Vol. no 2016-11
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Zusammenfassung in spanischer Sprache
Other identifiers:	hdl:10419/174441 [Handle]
Classification:	C22 - Time-Series Models ; C53 - Forecasting and Other Model Applications ; c58 ; G10 - General Financial Markets. General ; G13 - Contingent Pricing; Futures Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10011496736