Narrow search
Showing 1 - 10 of 8,071
Cover Image
Asset Markets, Exchange Rates and the Balance of Payments
Frenkel, Jacob A. - 1984
This paper, written as a chapter for a Handbook of International Economics, reviews developments in the theory of … of exchange rate theory, starting with the monetary approach to exchange rate determination. Issues discussed in this … framework that views the question of exchange rate determination as part of the general theory of the determination of asset …
Persistent link: https://www.econbiz.de/10012477808
Cover Image
International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth)
Brandt, Michael W. - 2001
Exchange rates depreciate by the difference between the domestic and foreign marginal utility growths. Exchange rates vary a lot , as much as 10% per year. However, equity premia imply that marginal utility growths vary much more, by at least 50% per year. This means that marginal utility...
Persistent link: https://www.econbiz.de/10012470316
Cover Image
Money, Interest Rates, and Exchange Rates with Endogenously Segmented Asset Markets
Alvarez, Fernando - 2000
This paper analyzes the effects of money injections on interest rates and exchange rates in a model in which agents must pay a Baumol-Tobin style fixed cost to exchange bonds and money. Asset markets are endogenously segmented because this fixed cost leads agents to trade bonds and money only...
Persistent link: https://www.econbiz.de/10012470866
Cover Image
Exchange Rate Variability And Asset Trade
Persson, Torsten - 1989
In discussions about different international monetary arrangements it is often maintained that exchange rate variability has a negative influence on international trade and foreign investment. This paper addresses one specific aspect of this general issue, namely the effect of exchange rate...
Persistent link: https://www.econbiz.de/10012476246
Cover Image
Implications of Asset Market Data for Equilibrium Models of Exchange Rates
Jiang, Zhengyang; Krishnamurthy, Arvind; Lustig, Hanno - National Bureau of Economic Research - 2023
We characterize the relation between exchange rates and their macroeconomic fundamentals without committing to a specific model of preferences, endowment or menu of traded assets. When investors can trade home and foreign currency risk-free bonds, the exchange rate appreciates in states that are...
Persistent link: https://www.econbiz.de/10014436982
Cover Image
Asset Prices and Exchange Rates
Pavlova, Anna - 2003
the data, and the point estimates are in line with the implications of our theory. Furthermore, the uncovered interest … and identify economic environments under which they exhibit a home bias, and demonstrate that an international CAPM …
Persistent link: https://www.econbiz.de/10012468864
Cover Image
The World Price of Foreign Exchange Risk
Dumas, Bernard - 1993
CAPM incorporates rewards for exchange rate risk, in addition to the traditional reward for market-covariance risk. The aim … securities. The test being conducted is a test of a conditional version of the CAPM. It builds on the recent empirical literature … variables, such as interest rates and dividend yields. All previous tests of the international CAPM with exchange risk premia …
Persistent link: https://www.econbiz.de/10012474487
Cover Image
Equilibrium Exchange Rate Hedging
Black, Fischer - 1989
In a one-period model where each investor consumes a single good, and where borrowing and lending are private and real, there is a universal constant that tells how much each investor hedges his foreign investments. The constant depends only on average risk tolerance across investors. The same...
Persistent link: https://www.econbiz.de/10012476106
Cover Image
Limits of Arbitrage : The State of the Theory
Gromb, Denis - 2010
We survey theoretical developments in the literature on the limits of arbitrage. This literature investigates how costs faced by arbitrageurs can prevent them from eliminating mispricings and providing liquidity to other investors. Research in this area is currently evolving into a broader...
Persistent link: https://www.econbiz.de/10012462830
Cover Image
Aggregate Implications of Micro Asset Market Segmentation
Edmond, Chris - 2009
This paper develops a consumption-based asset pricing model to explain and quantify the aggregate implications of a frictional financial system, comprised of many financial markets partially integrated with one-another. Each of our micro financial markets is inhabited by traders who are...
Persistent link: https://www.econbiz.de/10012463395