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Pavlova, Anna - 2003

rate parity relationship has a risk premium in our model, shown to be volatile. We also derive agents? portfolio holdings … and identify economic environments under which they exhibit a home bias, and demonstrate that an international CAPM …

Persistent link: https://www.econbiz.de/10012468864

The Time-Variation of Risk and Return in the Foreign Exchange and Stock Markets

Giovannini, Alberto - 1988

Recent empirical work indicates that, in a variety of financial markets, both conditional expectations and conditional variances of returns are time- varying. The purpose of this paper is to determine whether these joint fluctuations of conditional first and second moments are consistent with...

Persistent link: https://www.econbiz.de/10012476490

Wealth Transfers, Contagion, and Portfolio Constraints

Pavlova, Anna - 2005

This paper examines the co-movement among stock market prices and exchange rates within a three-country Center-Periphery dynamic equilibrium model in which agents in the Center country face portfolio constraints. In our model, international transmission occurs through the terms of trade, through...

Persistent link: https://www.econbiz.de/10012467239

High-Frequency Contagion Between the Exchange Rates and Stock Prices

Hashimoto, Yuko - 2004

This paper analyzes the co-movement of the exchange rates and the stock prices from the viewpoint of contagion among the eight countries in the region during the period of Asian currency crisis, 1997-1999. Ito and Hashimoto (2002; NBER working paper) proposed a new definition of high-frequency...

Persistent link: https://www.econbiz.de/10012468245

The Effects of War Risk on U.S. Financial Markets

Rigobon, Roberto - 2003

This paper measures the effects of the risk of war on nine U.S. financial variables using a heteroskedasticity-based estimation technique. The results indicate that increases in the risk of war cause declines in Treasury yields and equity prices, a widening of lower-grade corporate spreads, a...

Persistent link: https://www.econbiz.de/10012469089

The Transmission of Federal Reserve Tapering News to Emerging Financial Markets

Aizenman, Joshua - 2014

This paper evaluates the impact of tapering "news" announcements by Fed senior policy makers on financial markets in emerging economies. We apply a panel framework using daily data, and find that emerging market asset prices respond most to statements by Fed Chairman Bernanke, and much less to...

Persistent link: https://www.econbiz.de/10012458684

The Forward Premium Puzzle in a Two-Country World

Martin, Ian - 2011

I explore the behavior of asset prices and the exchange rate in a two-country world. When the large country has bad news, the relative price of the small country's output declines. As a result, the small country's bonds are risky, and uncovered interest parity fails, with positive excess returns...

Persistent link: https://www.econbiz.de/10012461094

Rare Disasters and Exchange Rates

Farhi, Emmanuel - 2008

We propose a new model of exchange rates, which yields a theory of the forward premium puzzle. Our explanation combines … risk premium mean reverts, their exchange rate appreciates. Therefore, currencies of high interest rate countries … values for the volatility of the exchange rate, the forward premium puzzle regression coefficients, and near-random walk …

Persistent link: https://www.econbiz.de/10012464842

Exchange Rate, Equity Prices and Capital Flows

Hau, Harald - 2002

We develop an equilibrium model in which exchange rates, stock prices and capital flows are jointly determined under incomplete forex risk trading. Incomplete hedging of forex risk, documented for U.S. global mutual funds, has three important implications: 1) exchange rates are almost as...

Persistent link: https://www.econbiz.de/10012469305

Exchange Rate Exposure

Dominguez, Kathryn M.E. - 2001

In this paper we examine the relationship between exchange rate movements and firm value. We estimate the exchange rate exposure of publicly listed firms in a sample of eight (non-US) industrialized and emerging markets, and find that a significant percentage of these firms are indeed exposed....

Persistent link: https://www.econbiz.de/10012470265