Showing 1 - 10 of 13,201
I extend the evidence on the basic stylized facts documented for the U.S. variance risk premium (VP) and show that …
Persistent link: https://www.econbiz.de/10013032025
This paper investigates the variance risk premium in an international setting. First, I provide new evidence on the …
Persistent link: https://www.econbiz.de/10013110367
This paper investigates the variance risk premium in an international setting. First, I provide new evidence on the …
Persistent link: https://www.econbiz.de/10013128804
We apply the Campbell-Shiller return decomposition to exchange rate returns and fundamentals in a stationary panel vector autoregression framework. The return decomposition is then used to analyse how different investor segments react to news as captured by the different return components. The...
Persistent link: https://www.econbiz.de/10013317302
novel measure of eurozone exit risk. We find that while domestic bank stocks are not significantly affected by domestic exit … risk, there is a negative exposure to exit risk of other countries that is channeled through bilateral credit risk. For the … real sector, exposure to eurozone exit risk is heterogeneous among industries and is less negative for more indebted …
Persistent link: https://www.econbiz.de/10011664386
We introduce a novel indicator of eurozone exit risk based on American Depositary Receipts(ADRs). We exploit ADR … new devaluated currency, capitalcontrols or trading halts. We are the first to analyze the effects of eurozone exit risk … on banksand non-financial firms. European banks are negatively affected by exit risk of Greece, Irelandand Portugal …
Persistent link: https://www.econbiz.de/10012901795
dependent on macroeconomic risk factors and speculative positions. The latter are measured by the net open futures positions … recorded on the CME. While correlated with the standard carry-to-risk and forward discount proxies, net open positions have the …
Persistent link: https://www.econbiz.de/10013047121
dollar movements act as a barometer for global risk appetite, but with an important caveat: Throughout our analysis we find …
Persistent link: https://www.econbiz.de/10012839247
Persistent link: https://www.econbiz.de/10002977273
Main description: Der Autor untersucht, ob sich im Zeitablauf trendmäßige Entwicklungen, insbesondere ein signifikanter Anstieg der Wechselkursvolatilität feststellen lassen, und wieweit diese durch das gewählte Wechselkursregime beeinflusst werden. Im Gegensatz zu bisherigen Arbeiten liegt...
Persistent link: https://www.econbiz.de/10012220829