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Forward and Spot Exchange Rates in a Multi-currency World
Hassan, Tarek A. - 2014
Separate literatures study violations of uncovered interest parity 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/10012458373
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World Income Components : Measuring and Exploiting International Risk Sharing Opportunities
Shiller, Robert J. - 1995
We provide methods of decomposing the variance of world national incomes into components in such a way as to indicate … eigenvectors of a variance matrix of residuals produced when country incomes are regressed on world income. Another method uses a … matrix of deviations of country incomes from their respective contract-year shares of world income. The two methods are …
Persistent link: https://www.econbiz.de/10012473792
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Exchange Rates, Interest Rates, and the Risk Premium
Engel, Charles - 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/10012457626
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The Term Structure of Currency Carry Trade Risk Premia
Lustig, Hanno - 2013
Fixing the investment horizon, the returns to currency carry trades decrease as the maturity of the foreign bonds increases, because the local currency term premia offset the currency risk premia. The time series predictability of foreign bond returns in dollars similarly declines as the...
Persistent link: https://www.econbiz.de/10012459038
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Implications for the Adjustment Process of International Asset Risks : Exchange Controls, Intervention and Policy Risk, and Sovereign Risk
Buiter, Willem H. - 1980
country risk, the paper discusses a number of modifications in the standard theory of efficient international financial … domestic and foreign assets become imperfect substitutes and that world demand for domestic assets is likely to be less than …
Persistent link: https://www.econbiz.de/10012478620
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Country Risk and Capital Flow Reversals
Razin, Assaf - 2001
A financial crisis with a capital flow reversal occurs when a country shifts abruptly from a 'good' equilibrium with a low country-specific risk premium to a 'bad' equilibrium with a high country-specific risk premium and no foreign credit
Persistent link: https://www.econbiz.de/10012470555
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A Brazilian-Type Debt Crisis : Simple Analytics
Razin, Assaf - 2003
We develop a model that captures important features of debt crises of the Brazilian type. Its applicability to Brazil lies in the fact that (1) macro fundamentals were sound in the wake of the crisis (e .g., a non-negligible primary surplus, a relatively low debt/GDP ratio, low inflation, etc.);...
Persistent link: https://www.econbiz.de/10012469092
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Financial Repression and Capital Mobility : Why Capital Flows and Covered Interest Rate Differentials Fail to Measure Capital Market Integration
Dooley, Michael P. - 1995
Required reserves on banks' deposit liabilities have been utilized by both industrial and developing countries to discourage and sterilize international capital flows. In this paper we utilize an open economy macro model incorporating bank credit to evaluate this policy. The model suggests that...
Persistent link: https://www.econbiz.de/10012473522
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Crash Risk in Currency Markets
Farhi, Emmanuel - 2009
1996 to 2011 period using exchange rate spot, forward, and option data, we obtain a real-time index of world disaster risk …
Persistent link: https://www.econbiz.de/10012463588
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The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk : A Reply
Lustig, Hanno - 2008
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/10012464835