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The term structure of currency futures' risk premia
Bernoth, Kerstin; Hagen, Jürgen von; Vries, Casper G. de - In: Journal of money, credit and banking : JMCB 54 (2022) 1, pp. 5-38
Persistent link: https://www.econbiz.de/10012819558
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Currency Risk Premia and Uncovered Interest Parity in the International CAPM
Balvers, Ronald J. - 2013
currency risk in the International CAPM context. Their returns are the currency risk premia. Since the UIP positions on average … use this observation to generate a specific conditional version of the International CAPM. A GMM approach shows that the … conditional model performs well, while the unconditional International CAPM is (marginally) rejected. The paper thus argues that …
Persistent link: https://www.econbiz.de/10013078881
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Crash risk in currency markets
Farhi, Emmanuel; Fraiberger, Samuel P.; Gabaix, Xavier; … - 2009
Persistent link: https://www.econbiz.de/10003851615
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The Forward Premium Puzzle in a Two-Country World
Martin, Ian - 2011
I explore the behavior of asset prices and the exchange rate in a two-country world. When the large country has bad …
Persistent link: https://www.econbiz.de/10013118842
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Crash Risk in Currency Markets
Farhi, Emmanuel - 2010
1996 to 2011 period using exchange rate spot, forward, and option data, we obtain a real-time index of world disaster risk …
Persistent link: https://www.econbiz.de/10013152552
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How Puzzling is the Forward Premium Puzzle? A Meta-Analysis
Zigraiova, Diana - 2020
A key theoretical prediction in financial economics is that under risk neutrality and rational expectations, a currency's forward rates should form unbiased predictors of future spot rates. Yet scores of empirical studies report negative slope coefficients from regressions of spot rates on...
Persistent link: https://www.econbiz.de/10012826616
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Forward and Spot Exchange Rates in a Multi-Currency World
Hassan, Tarek A. - 2017
Separate literatures study violations of uncovered interest parity using regression-based and portfolio-based methods. We propose a decomposition of these violations into a cross-currency, a between-time-and-currency, and a cross-time component that allows us to analytically relate...
Persistent link: https://www.econbiz.de/10012974287
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Dissecting Volatility Risks in Currency Markets
Nolte, Ingmar - 2015
We investigate the pricing of volatility risks in currency markets. First, we show that pricing ability of volatility risk is concentrated in some of its components. Diffusive volatility dominates jump volatility in pricing carry trade returns, while jump volatility is important in jointly...
Persistent link: https://www.econbiz.de/10013012552
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Central Bank Tone and Currency Risk Premia
Dossani, Asad - 2020
I analyze how the tone of central bank press conferences impacts risk premia in the currency market. I measure tone as the difference between the number of hawkish and dovish phrases made during a press conference. I show that central bank tone contemporaneously explains option implied risk...
Persistent link: https://www.econbiz.de/10012850585
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Forward and Spot Exchange Rates in a Multi-Currency World
Hassan, Tarek A. - 2014
Separate literatures study violations of uncovered interest parity (UIP) using regression-based and portfolio-based methods. We propose a decomposition of these violations into a cross-currency, a between-time-and-currency, and a cross-time component that allows us to analytically relate...
Persistent link: https://www.econbiz.de/10013050308