Narrow search
Showing 1 - 10 of 6,552
Cover Image
Political vs. Currency Premia in International Real Interest Differentials : a Study of Forward Rates for 24 Countries
Frankel, Jeffrey A.; MacArthur, Alan T. - 2021
Different approaches to quantifying the degree of capital mobility for a cross-section of currencies -- particularly saving-investment correlations and tests of real interest parity - have appeared to show a surprisingly low degree of financial market integration. We use a new data set, forward...
Persistent link: https://www.econbiz.de/10013231589
Cover Image
Forward and Spot Exchange Rates in a Multi-Currency World
Hassan, Tarek A. - 2014
Separate literatures study violations of uncovered interest parity (UIP) using regression-based and portfolio-based methods. We propose a decomposition of these violations into a cross-currency, a between-time-and-currency, and a cross-time component that allows us to analytically relate...
Persistent link: https://www.econbiz.de/10013050308
Cover Image
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
Cover Image
The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk : A Reply
Lustig, Hanno N. - 2010
The U.S. consumption growth beta of an investment strategy that goes long in high interest rate currencies and short in low interest rate currencies is large and significant. The price of consumption risk is significantly different from zero, even after accounting for the sampling uncertainty...
Persistent link: https://www.econbiz.de/10012759517
Cover Image
The Cross-Section of Currency Risk Premia and Us Consumption Growth Risk
Lustig, Hanno N. - 2012
Aggregate consumption growth risk explains why low interest rate currencies do not appreciate as much as the interest rate differential and why high interest rate currencies do not depreciate as much as the interest rate differential. We sort foreign T-bills into portfolios based on the nominal...
Persistent link: https://www.econbiz.de/10012755710
Cover Image
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
Cover Image
Affine Models of Currency Pricing
Backus, David K.; Foresi, Silverio; Telmer, Chris - 2021
characterize the risk premium in a general arbitrage-free setting and describe the features a theory must have to account for the …-varying risk premium, but theory has been largely unsuccessful in producing a risk premium with the requisite properties. We …
Persistent link: https://www.econbiz.de/10013228018
Cover Image
A Reconsideration of the Uncovered Interest Parity Relationship
McCallum, Bennett T. - 2021
The paper first presents reasons for viewing the uncovered interest-parity (VIP) relationship as more important, in terms of economic analysis, than the unbiasedness of forward rates as predictors of future spot exchange rates. The two hypotheses are closely related, so that test rejections of...
Persistent link: https://www.econbiz.de/10013236704
Cover Image
Exchange Rates, Interest Rates, and the Risk Premium
Engel, Charles M. - 2015
The well-known uncovered interest parity puzzle arises from the empirical regularity that, among developed country pairs, the high interest rate country tends to have high expected returns on its short term assets. At the same time, another strand of the literature has documented that high real...
Persistent link: https://www.econbiz.de/10013025786
Cover Image
Covered Interest Arbitrage : Then vs. Now
Juhl, Ted; Miles, William; Weidenmier, Marc - 2021
We introduce a new weekly database of spot and forward US-UK exchange rates as well as interest rates to examine the integration of forward exchange markets during the classical gold standard period (1880-1914). Using threshold autoregressions (TAR), we estimate the transactions cost band of...
Persistent link: https://www.econbiz.de/10013223800