Narrow search
Showing 1 - 10 of 2,002
Cover Image
Dusting off the perception of risk and returns in FOREX markets
Cumperayot, Phornchanok J. - 2003
In this paper, we construct alternative theoretical models for exchange rates by introducing additional risk factors …, based on the volatility of macroeconomic fundamentals. The modified flexible-price monetary model is used to characterize … macroeconomic sources of FOREX risk may be a missing factor in the exchange rate study. …
Persistent link: https://www.econbiz.de/10011507667
Cover Image
Measuring market expectations
Baumeister, Christiane - 2021
macroeconomic variables. However, the presence of time-varying risk premia requires an adjustment of market prices to obtain the … estimating risk premia and highlights the proliferation of risk pricing factors that result in a wide range of different asset …-price-based expectation measures. It then describes a key methodological innovation to evaluate the empirical plausibility of risk premium …
Persistent link: https://www.econbiz.de/10012622575
Cover Image
Expectation dispersion, uncertainty, and the reaction to news
Born, Benjamin; Dovern, Jonas; Enders, Zeno - 2020
Releases of key macroeconomic indicators are closely watched by financial markets. We investigate the role of expectation dispersion and economic uncertainty for the stock-market reaction to indicator releases. We find that the strength of the financial market response to news decreases with the...
Persistent link: https://www.econbiz.de/10012404549
Cover Image
Oil prices, exchange rates and interest rates
Kilian, Lutz; Zhou, Xiaoqing - 2019
There has been much interest in the relationship between the price of crude oil, the value of the U.S. dollar, and the U.S. interest rate since the 1980s. For example, the sustained surge in the real price of oil in the 2000s is often attributed to the declining real value of the U.S. dollar as...
Persistent link: https://www.econbiz.de/10011966739
Cover Image
Testing for UIP : nonlinearities, monetary announcements and interest rate expectations
Anderl, Christina; Caporale, Guglielmo Maria - 2021
This paper re-examines the UIP relation by estimating first a benchmark linear Cointegrated VAR including the nominal exchange rate and the interest rate differential as well as central bank announcements, and then a Cointegrated Smooth Transition VAR (CVSTAR) model incorporating nonlinearities...
Persistent link: https://www.econbiz.de/10012508617
Cover Image
Effects of macro uncertainty on mean expectations and subjective uncertainty : evidence from households and professional forecasters
Piccillo, Giulia; Poonpakdee, Poramapa - 2021
Macroeconomic uncertainty affects the subjective distribution of individual expectations. Using four panel datasets, we document the effects of macro uncertainty on the mean expectation (first moment) and subjective uncertainty (second moment) of income forecasts. We find that macro uncertainty...
Persistent link: https://www.econbiz.de/10012745240
Cover Image
Macroeconomic expectations and state-dependent factor returns
Haase, Felix; Neuenkirch, Matthias - 2023
We examine the asymmetric impact of shocks to macroeconomic expectations and their underlying dispersion on equity risk … for the price of risk. We also document that the survey expectations-augmented specification reduces pricing and premium …
Persistent link: https://www.econbiz.de/10014388605
Cover Image
The worst of both worlds : fiscal policy and fixed exchange rates
Born, Benjamin; D'Ascanio, Francesco; Müller, Gernot J.; … - 2019
Under fixed exchange rates, fiscal policy is an effective tool. According to classical views because it impacts the real exchange rate, according to Keynesian views because it impacts output. Both views have merit because the effects of government spending are asymmetric. A spending cut lowers...
Persistent link: https://www.econbiz.de/10012118599
Cover Image
The impact of macro news and central bank communication on emerging European forex markets
Égert, Balázs; Kočenda, Evžen - 2013
news and communication along with the estimated exchange rate misalignment on exchange rate as well as its volatility …
Persistent link: https://www.econbiz.de/10009764449
Cover Image
Can time-varying currency risk hedging explain exchange rates?
Bräuer, Leonie; Hau, Harald - 2022
Over the last decade foreign bond portfolio positions in US dollar assets have risen above the reciprocal US investor positions in foreign currencies. In periods of increased economic uncertainty, institutional investors hedge their international bond positions, which creates a net hedging...
Persistent link: https://www.econbiz.de/10013440410