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Analysis of an unannounced foreign exchange regime change
Khemraj, Tarron; Pasha, Sukrishnalall - Volkswirtschaftliche Fakultät, … - 2011
Starting in 2004 the Guyanese foreign exchange rate has been remarkably stable relative to earlier periods. This paper explores the reasons for the stability of the rate. First, the degree of concentration in the foreign exchange market has increased, thus making the task of moral suasion...
Persistent link: https://www.econbiz.de/10011110737
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Introduction to Risk Parity and Budgeting
Roncalli, Thierry - Volkswirtschaftliche Fakultät, … - 2013
Although portfolio management didn’t change much during the 40 years after the seminal works of Markowitz and Sharpe, the development of risk budgeting techniques marked an important milestone in the deepening of the relationship between risk and asset management. Risk parity then became a...
Persistent link: https://www.econbiz.de/10011259736
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Conditions for turning the ex ante risk premium into an ex post redemption for EU government debt
Colignatus, Thomas - Volkswirtschaftliche Fakultät, … - 2011
Basel III classifies government debt as risk free while actual interest rates in the European Union (EU) show large differences not only because of liquidity but mainly because of the risk of default, as also reflected in credit default swaps. Curiously such debt defaults may not happen so that...
Persistent link: https://www.econbiz.de/10009372590
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Global Currency Misalignments, Crash Sensitivity, and Downside Insurance Costs
Huang, Huichou; MacDonald, Ronald; Zhao, Yang - Volkswirtschaftliche Fakultät, … - 2012
We show that the profitability of currency carry trades can be understood as the compensation for exchange rate misalignment risk based on the rare disastrous model of exchange rates (Farhi and Gabaix, 2008). It explains over 97% of the cross-sectional excess returns and dominates other...
Persistent link: https://www.econbiz.de/10011112267
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The risk premium, exchange rate expectations, and the forward exchange rate: Estimates for the Yen-Dollar rate
Landon, Stuart; Smith, Constance - Volkswirtschaftliche Fakultät, … - 1999
The forward rate is often used as the market's prediction of the future spot exchange rate even though the hypothesis that the forward rate is an unbiased predictor of the future spot rate has been rejected in a large number of empirical studies using data for different countries and time...
Persistent link: https://www.econbiz.de/10005621817
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MODELLING THE WORLD EXCHANGE RATES:DYNAMICS, VOLATILITY AND FORECASTING
Nwaobi, Godwin - Volkswirtschaftliche Fakultät, … - 2008
Indeed, the specification of equilibrium in the world economy depends on the exchange rate regime and thus, the early … foreign exchange markets. However, the world has known several exchange rate systems beginning with the fixed-gold standard … exchange was deregulated, independent traders finally had access to the biggest trading market of the world; and these forex …
Persistent link: https://www.econbiz.de/10005619306
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Financial Market Integration of South Asian Countries: Panel data Analysis
Mohsin, H; Rivers, P - Volkswirtschaftliche Fakultät, … - 2010
According to Frankel (1992) in order to find financial integration from Feldstein Horoika (FH, 1980) model, the real interest parity must hold. This paper estimates the degree of financial market integration of South Asian countries i.e. Pakistan, India, Bangladesh, Sri Lanka and Nepal with both...
Persistent link: https://www.econbiz.de/10008685576
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Risk-Premia, Carry-Trade Dynamics, and Economic Value of Currency Speculation
Wagner, Christian - Volkswirtschaftliche Fakultät, … - 2009
In this paper, we derive the dynamics and assess the economic value of currency speculation by formalizing the concept of a trader inaction range. We show that exchange rate returns comprise a time-varying risk-premium and that uncovered interest parity (UIP) holds in a speculative sense. The...
Persistent link: https://www.econbiz.de/10008592956
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Survey of Literature on Covered and Uncovered Interest Parities
Pasricha, Gurnain Kaur - Volkswirtschaftliche Fakultät, … - 2006
This paper explains the concepts of covered and uncovered interest parities and surveys related literature.
Persistent link: https://www.econbiz.de/10008595906
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Testing international parity hypothesis in a multivariate identified co-integrating system: the Turkish evidence
Levent, Korap - Volkswirtschaftliche Fakultät, … - 2008
the purchasing power parity and the uncovered interest parity theories simultaneously. Estimation results obtained from …
Persistent link: https://www.econbiz.de/10008543491