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Currency Hedging Over Long Horizons
Froot, Kenneth - 2001
, but not at long horizons. At horizons of several years, complete hedging not only does not lower return variance, it … apparent causes, and investigates their implications for hedging practice …
Persistent link: https://www.econbiz.de/10012787885
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The Forward Premium is Still a Puzzle
Burnside, A. Craig - 2007
Lustig and Verdelhan (2007) argue that the excess returns to borrowing US dollars and lending in foreign currency quot;compensate US investors for taking on more US consumption growth risk,quot; yet the stochastic discount factor corresponding to their benchmark model is approximately...
Persistent link: https://www.econbiz.de/10012776875
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Regime-Switching Behavior of the Term Structure of Forward Markets
Branson, Elena Tchernykh - 2006
This paper presents techniques for modelling and estimating the behavior of financial market price or return differentials that follow non-linear regime-switching behaviour. The methodology to be used here is estimation of variants of threshold autoregression (TAR) models. In the basic model the...
Persistent link: https://www.econbiz.de/10012783699
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The Term Structure of the Forward Premium
Hakkio, Craig S. - 2013
. The paper proposes an equilibrium theory of the term structure of the forward premium. By combining the theory of the term … expression for the expected one month forward premium. The theory will then impose highly non-linear cross equation restrictions … indicate that the data are consistent with the theory for Germany and inconsistent with the theory for Canada …
Persistent link: https://www.econbiz.de/10012754712
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The Term Structure of Forward Exchange Premia and the Forecastibility of Spot Exchange Rates : Correcting the Errors
Clarida, Richard - 2010
We present theory and evidence that challenges the view that forward premia contain little information regarding …
Persistent link: https://www.econbiz.de/10012763403
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Heterogeneous Expectations and Tests of Efficiency in the Yen/Dollar Forward Foreign Exchange Rate Market
Elliott, Graham - 2010
This paper examines the efficiency of the forward yen/dollar market using micro survey data. We first argue that the conventional tests of efficiency (unbiasedness) of the forward rate or of the survey forecasts do not correspond directly to the zero-profit condition. Instead, we use the survey...
Persistent link: https://www.econbiz.de/10012763699
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Tests of Rational Expectations and No Risk Premium in Forward Exchange Markats
Hsieh, David A. - 2009
This paper tests the hypothesis that traders have rational expeatations and charge no risk premium in the forward exchange market. It uses a statistical procedure which is consistent under a large class of heteroscedasticity, and a set of data which takes into account the institutional features...
Persistent link: https://www.econbiz.de/10013159483
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Testing for Cointegration When Some of the Contributing Vectors are Known
Horvath, Michael T. K.; Watson, Mark W. - 2021
Many economic models imply that ratios, simple differences, or `spreads' of variables are I(0). In these models, cointegrating vectors are composed of 1's, 0's and -1's, and contain no unknown parameters. In this paper we develop tests for cointegration that can be applied when some of the...
Persistent link: https://www.econbiz.de/10013222943
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Risk, Uncertainty and Exchange Rates
Hodrick, Robert J. - 2010
This paper explores a new direction for empirical models of exchange rate determination. The motivation arises from two well documented facts, the failure of log-linear empirical exchange rate models of the 1970's and the variability of risk premiums in the forward market. Rational maximizing...
Persistent link: https://www.econbiz.de/10012760244
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Is it Risk? Explaining Deviations from Uncovered Interest Parity
Cumby, Robert - 2010
This paper analyzes ex-ante returns to forward speculation and asks if these returns can be explained by models of a foreign exchange risk premium. After presenting evidence that both nominal and real expected speculative profits are non-zero, the paper examines if real returns to forward...
Persistent link: https://www.econbiz.de/10012760267