costs and contract risk; they occasionally jump outside the band, and then follow an autoregressive path back towards the …

a sticky-price alternative to Lucas's (1982) exchage rate risk premium model. We show that the level risk premium' in …

well documented facts, the failure of log-linear empirical exchange rate models of the 1970's and the variability of risk …, can have a significant effect on risk premiums in the foreign exchange market and can induce conditional volatility of …

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 speculation are consistent with consumption-based models of risk premia …

This paper examines the determination of risk premiums in foreign exchange markets. The statistical model is based on a … heteroskedasticity. We find that there is evidence for heteroskedasticity and that the conditional expectation of the risk premium is a …

The Global Financial Crisis initiated a period of market turbulence and increased counterparty risk for financial … to the pre-crisis period. This shift may be the result of a perceived increase in counterparty risk among banks, as well …

hedging non-dollar borrowing rates. These results have implications for the practice of hedging non-dollar interest rate risk … measure its hedging effectiveness. This synthetic Eurocurrency interest rate futures contract is obtained by combining … interest rate parity relationship. In theory, the cash flows of the synthetic contract perfectly replicate the cash flows of a …

, 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 …

This paper studies the market price of credit risk incorporated into one of the most important credit spreads in the …

simple form with forward rates: as theory suggests, the largest discrepancies are at short maturities. (ii) Reasonable …