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A habit-based explanation of the exchange rate risk premium
Verdelhan, Adrien - 2005
Persistent link: https://www.econbiz.de/10003380904
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An affine model for international bond markets
Dewachter, Hans; Maes, Konstantijn - 2001
Persistent link: https://www.econbiz.de/10001553246
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Risk-adjusted return managed carry trade
Dupuy, Philippe - In: Journal of banking & finance 129 (2021), pp. 1-20
Persistent link: https://www.econbiz.de/10012822247
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FX liquidity risk and forward premium puzzle
Abankwa, Samuel - In: Quarterly journal of finance & accounting : QJFA 58 (2020) 1/2, pp. 101-132
Persistent link: https://www.econbiz.de/10012288688
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Currency futures' risk premia and risk factors
Bernoth, Kerstin; Hagen, Jürgen von; Vries, Casper G. de - 2020
The use of futures exchange contracts instead of forwards completes the maturity spectrum of the correlation between the spot yield and the premium. We find that the forward premium puzzle (FFP) depends significantly on the maturity horizon of the futures contract and the choice of sampling...
Persistent link: https://www.econbiz.de/10012209529
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Optimal carry trade portfolio choice under regime shifts
Chen, Chih-Nan; Lin, Chien-Hsiu - In: Review of quantitative finance and accounting 59 (2022) 2, pp. 483-506
Persistent link: https://www.econbiz.de/10013459294
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The failure of covered interest parity : FX hedging demand and costly balance sheets
Sushko, Vladyslav; Borio, Claudio E. V.; McCauley, Robert N. - 2016 - This version: 30 October, 2016
Persistent link: https://www.econbiz.de/10011609852
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Dollar Asset Holdings and Hedging Around the Globe
Du, Wenxin; Huber, Amy W. - National Bureau of Economic Research - 2024
comprehensive estimate of foreign investors' U.S. dollar (USD) security holdings and currency hedging practices. We document four … raised their USD hedge ratio by an average of 15 percentage points, despite higher hedging costs implied by large and … persistent deviations from covered interest-rate parity. The total FX hedging demand from these sector reached $2 trillion in …
Persistent link: https://www.econbiz.de/10014544731
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International Risk Sharing : Through Equity Diversification or Exchange Rate Hedging?
Matsumoto, Akito - 2009
Well-known empirical puzzles in international macroeconomics concern the large divergence of equilibrium outcomes for consumption across countries from the predictions of models with full risk sharing. It is commonly believed that these risk-sharing puzzles are related to another empirical...
Persistent link: https://www.econbiz.de/10014404288
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Exchange rate risk pricing by US equity for US industrial portfolios
Raihan, Mahfuz - In: International journal of economics and finance 5 (2013) 11, pp. 13-21
Persistent link: https://www.econbiz.de/10010213399