Showing 1 - 10 of 6,032
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
We study empirically the relation between currency excess returns and macro uncertainty, measured as forecast dispersion, on a wide set of economic indicators. We find that investment currencies deliver low returns whereas funding currencies offer a hedge when current account uncertainty is...
Persistent link: https://www.econbiz.de/10012902226
We sort currencies by countries' consumption growth over the past four quarters. Currency portfolios of countries experiencing consumption booms have higher Sharpe ratios than those of countries going through a consumption-based recession. A carry strategy that goes short in countries that are...
Persistent link: https://www.econbiz.de/10009752999
We identify a global risk factor in the cross-section of implied volatility returns in currency markets. A zero-cost strategy that buys forward volatility agreements with downward sloping implied volatility curves and sells those with upward slopes - volatility carry strategy - generates...
Persistent link: https://www.econbiz.de/10012902489
This paper formally implements time-varying risk price models for currency returns. Focusing upon time variation in risk prices, the paper explores four currency risk factors. In addition to dollar and carry factors, we employ momentum and value factors which are widely used by currency...
Persistent link: https://www.econbiz.de/10013403528
This paper provides empirical evidence for the difference in variance risk premium in the U.S. against other economies (VPI) having significant predictive power on monthly U.S. Dollar movements. The predictive power of VPI is rationalized by the variance risk premium's economic interpretation...
Persistent link: https://www.econbiz.de/10013292092
We test a two-beta currency pricing model that features betas with risk-premium news and real-rate news of the currency market. Unconditionally, beta with currency market risk-premium news is "bad" because of a significantly positive price of risk of 2.52% per year; beta with global real-rate...
Persistent link: https://www.econbiz.de/10012849146
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/10012974287
We investigate the pricing of volatility risks in currency markets. First, we show that pricing ability of volatility risk is concentrated in some of its components. Diffusive volatility dominates jump volatility in pricing carry trade returns, while jump volatility is important in jointly...
Persistent link: https://www.econbiz.de/10013012552
The use of futures exchange contracts instead of forwards completes the maturityspectrum of the correlation between the spot yield and the premium. We find that theforward premium puzzle (FPP) depends significantly on the maturity horizon of thefutures contract and the choice of the sampling...
Persistent link: https://www.econbiz.de/10013311513