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Uncertainty and Exchange Rate Volatility : The Case of Mexico

Bush, G. - 2019

This paper investigates the effect of domestic and global uncertainty on the volatility of the Mexican peso US dollar … estimated exchange rate volatility on domestic and global uncertainty proxies, built with data from the survey of professional … Davis global economic policy uncertainty index (EPU). A trade uncertainty index based on Google trends is incorporated in …

Persistent link: https://www.econbiz.de/10012897453

Exchange Rates and Liquidity Risk

Evans, Martin D.D. - 2020

I use Forex trading data to study how risks associated with the lack of liquidity contribute to the dynamics of 17 spot exchange rates through their time-varying contributions to risk premia. I find that liquidity risk matters. All the foreign exchange risk premia compensate investors for...

Persistent link: https://www.econbiz.de/10012824202

The Dollar, Global Growth Risks and the US Safety Puzzle

Kim, Sun Yong - 2022

The United States (US) extracts a large macroeconomic premium from foreigners: she enjoys higher consumption and GDP growths on average relative to the rest of the world (ROW). This is earned even though the US is relatively insulated against global consumption and GDP risks, challenging a...

Persistent link: https://www.econbiz.de/10014077659

Inflation uncertainty, exchange rate depreciation and volatility : evidence from Ghana, Mozambique and Tanzania

Molana, Hassan; Osei-Assibey, Kwame - 2010

While flexible exchange rates facilitate stabilisation, exchange rate fluctuations can cause real volatility. This gives policy importance to the causal relationship between exchange rate depreciation and its volatility. An exchange rate may be expected to become more volatile when the...

Persistent link: https://www.econbiz.de/10008728852

Capital regulation and tail risk

Perotti, Enrico C.; Ratnovski, Lev; Vlahu, Razvan - 2011

The paper studies risk mitigation associated with capital regulation, in a context when banks may choose tail risk assets. We show that this undermines the traditional result that higher capital reduces excess risk-taking driven by limited liability. When capital raising is costly, poorly...

Persistent link: https://www.econbiz.de/10011383199

A Global Approach to Financial Risk

Guptara, Prabhu - 2009

Persistent link: https://www.econbiz.de/10013153033

The Effects of Derivatives on Firm Risk and Value

Bartram, Söhnke M. - 2019

Using a large sample of non-financial firms from 47 countries, we examine the effect of derivative use on firm risk and value. We control for endogeneity by matching users and nonusers on the basis of their propensity to use derivatives. We also use a new technique to estimate the effect of...

Persistent link: https://www.econbiz.de/10012906123

US Wealth Shares, the Dollar and International Risk Sharing

Kim, Sun Yong - 2021

I study the joint dynamics between the US wealth share, the dollar and the global economy. I uncover three novel stylised facts about these joint dynamics. Firstly, the US wealth share is countercyclical: it falls on impact but subsequently rises over the course of global recessions. Secondly...

Persistent link: https://www.econbiz.de/10013237177

Nontraded Sector Growth Risks and Economic Sizes in International Asset Pricing

To, Thuy Duong - 2020

Output fluctuations in nontraded sectors are a primary country-specific risk factor because nontraded outputs are consumed domestically. While nontraded sector growth risks are mostly non-diversifiable, they can be partially mitigated by international trades in other sectors. The mitigation...

Persistent link: https://www.econbiz.de/10012848987

Which Risks Should Firms Hedge and Derivatives Should Be Used? Evidence from the UK

Ahmed, Hany; Azevedo, Alcino; Guney, Yilmaz - 2022

This paper uses a dataset that comprises information on 275 nonfinancial firms listed in the FTSE-All share index over the time period between 2005 and 2012, and reveals interesting features of the UK nonfinancial firms regarding the effect of hedging on firm value and performance. We show that...

Persistent link: https://www.econbiz.de/10014235965

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