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U.S. dollar dynamics : how important are policy divergence and FX risk premiums?

Balakrishnan, Ravi; Laséen, Stefan; Pescatori, Andrea - 2016

premiums using Consensus exchange rate forecasts. We then use VAR analysis to show that (i) risk premium shocks play a key role … premium and longer-term interest differential shocks fit well with a simple theoretical model and are supported by recent …

Persistent link: https://www.econbiz.de/10011711595

Credit Risk Spreads in Local and Foreign Currencies

Wiener, Zvi - 2009

The paper shows how-in a Merton-type model with bankruptcy-the currency composition of debt changes the risk profile of a company raising a given amount of financing, and thus affects the cost of debt. Foreign currency borrowing is cheaper when the exchange rate is positively correlated with the...

Persistent link: https://www.econbiz.de/10014403081

Mexico'S Currency Risk Premia in 1992-1994 : A Closer Look At the Interest Rate Differentials

Werner, Alejandro M. - 1996

This paper studies the behavior of interest rate differentials in Mexico during the 1992-94 period. It shows that the currency risk premia is positively related to the share of peso denominated debt in total debt and that the magnitude of this effect is considerable. For every 1 percentage point...

Persistent link: https://www.econbiz.de/10014398127

FX Funding Risks and Exchange Rate Volatility–Korea’s Case

Ree, Jack - 2012

This paper examines how exchange rate volatility and Korean banks’ foreign exchange liquidity mismatches interacted with each other during the Global Financial Crisis, and whether the vulnerability stemming from this interaction has been reduced since then. Structural and cyclical changes...

Persistent link: https://www.econbiz.de/10014395582

Determinants of the Foreign Exchange Risk Premium in Gulf Cooperation Council Countries

Poghosyan, Tigran - 2010

This paper analyzes macroeconomic determinants of the foreign exchange risk premium in two Gulf Cooperation Council … foreign exchange risk premium and its macroeconomic determinants. Estimation results suggest that U.S. inflation and … consumption growth are important factors driving the risk premium, which is in line with the standard C-CAPM model. In addition …

Persistent link: https://www.econbiz.de/10014403240

Are Exchange Rates Excessively Volatile? and What Does ""Excessively Volatile"" Mean, Anyway?

Bodnar, Gordon M. - 1995

Using data for the major currencies from 1973 to 1994, we apply recent tests of asset price volatility to re-examine whether exchange rates have been excessively volatile with respect to the predictions of the monetary model of the exchange rate and of standard extensions that allow for sticky...

Persistent link: https://www.econbiz.de/10014398025

Do Asset Prices in Transition Countries Contain Information About Future Economic Activity?

Sløk, Torsten - 2000

There is ample empirical evidence for developed economies that asset prices contain information about future economic developments. But is this also the case in transition economies? Using a panel of monthly data for the Czech Republic, Hungary, Poland, Russia, Slovakia, and Slovenia for the...

Persistent link: https://www.econbiz.de/10014399894

The present value of corporate profits : a forecasters’ survey perspective

Andrle, Michal - 2019

This paper presents and discusses the estimates of the present value of corporate profits in the United States from 1984 to 2018. To value the expected income stream, it uses the long-range forecasts of professional forecasters for pre-tax corporate earnings and long-term Treasury note yields,...

Persistent link: https://www.econbiz.de/10012001557

Hang in there : stock market reactions to withdrawals of COVID-19 stimulus measures

Chan-Lau, Jorge A.; Zhao, Yunhui - 2020

The COVID-19 pandemic prompted unprecedented economic stimulus worldwide. We empirically examine the impact of a withdrawal of fiscal stimulus policies on the stock markets. After constructing a database of withdrawal events, we use event study analysis and cross-country regressions to assess...

Persistent link: https://www.econbiz.de/10012486103

Recognizing reality : unification of official and parallel market exchange rates

Gray, Simon T. - 2021

Some central banks have maintained overvalued official exchange rates, while unable to ensure that supply of foreign exchange meets legitimate demand for current account transactions at that price. A parallel exchange rate market develops, in such circumstances; and when the spread between the...

Persistent link: https://www.econbiz.de/10012517937

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