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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

Asset Prices and Exchange Rates

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

Rounding up the Effect of Tariffs on Financial Markets : Evidence from April 2, 2025

Benguria, Felipe; Saffie, Felipe - National Bureau of Economic Research - 2025

We measure the response of financial outcomes to the US announcement on April 2, 2025, of tariffs on nearly all its trading partners. To address the challenge posed by potential anticipation by economic agents, we decompose these tariffs into a component associated with bilateral deficits and an...

Persistent link: https://www.econbiz.de/10015438261

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

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

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

A Re-Examination of Exchange Rate Exposure

Dominguez, Kathryn M.E. - 2001

Finance theory suggests that changes in exchange rates should have little influence on asset prices in a world that has become increasingly with integrated capital markets. Indeed, the existing literature examining the relationship between international stock prices and exchange rates finds...

Persistent link: https://www.econbiz.de/10012470601