Exchange Rate Risk Premium : An Analysis of Its Determinants for the Mexican Peso-USD

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 for a simple 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. These results are in line with previous results in the literature that have proven that exchange rate premium are influenced by several financial variables, which are usually considered as 'proxies' of risk

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Year of publication:	2016
Authors:	Benavides, Guillermo
Publisher:	[2016]: [S.l.] : SSRN
Subject:	Mexiko \| Mexico \| Risikoprämie \| Risk premium \| Wechselkurs \| Exchange rate \| Währungsrisiko \| Exchange rate risk

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Extent:	1 Online-Ressource (43 p)
Series:	Banco de México, Working Papers, N° 2016-11
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 11, 2016 erstellt
Other identifiers:	10.2139/ssrn.2808249 [DOI]
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/10012987010