daily option panel of 15 currencies. This analysis reveals that (i) put risk premiums are negative, implying across …-the-board interest in hedging foreign currency depreciations; (ii) call risk premiums are of variable sign and not as pronounced as for … puts; (iii) volatility risk premiums are small or insignificant; and (iv) put (call) risk premiums are more (less) negative …

Theories of systemic risk suggest that financial intermediaries’ balance-sheet constraints amplify fundamental shocks …. We provide supportive evidence for such theories by decomposing the U.S. dollar risk premium into components associated … benchmark model with only macroeconomic state variables, balance sheets amplify the U.S. dollar risk premium. We discuss …

premium are much closer to one. The latent factor is shown to be related to conventional proxies of risk. -- Forward premium …

A US dollar funding premium in the EUR/USD cross currency swap market has been in existence since 2008. Whilst there … currency swap markets over balance sheet reporting dates, using the money market statistical reporting (MMSR) dataset in order …

consider fundamental variables such as default risk, foreign exchange rate regime, capital control as well as interest rate in …