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This paper applies a recent method proposed by Maggiori (The U.S. Dollar Safety Premium, 2013) to estimate the Swiss franc safety premium. The results show that the three-step instrumental variable approach as used by Maggiori does not work for the Swiss franc exchange rates. The price of risk...
Persistent link: https://www.econbiz.de/10013205755
The use of futures instead of forwards exchange contracts completes the ma-turity spectrum of the correlation between spot yields and the premium. Wefind that the forward premium puzzle appears to be a precrisis phenomenonand is only observed for maturities longer than about 1 month....
Persistent link: https://www.econbiz.de/10013367049
This paper investigates the interaction between stock prices and real exchange rates by applying monthly data from Turkey for the period between January 2001 and September 2016. This study uses the autoregressive distributed lag (ARDL) model and the Error Correction Model (ECM) in order to...
Persistent link: https://www.econbiz.de/10011709024
Dieser Artikel zeigt, dass eine Beimischung von Kryptowährungen in ein Portfolio, bestehend aus mehreren deutschen Asset-Klassen, mit Vorsicht zu betrachten ist. Auf Grund einer hohen realisierten Volatilität werden Kryptowährungen unter einem Markowitz- und Risikoparitätsansatz nur...
Persistent link: https://www.econbiz.de/10012144672
We revise previous literature about Fisher Effect, in order to check if the majority of nominal interest rates movements are caused by inflation rate fluctuations, remaining constant the real interest rate. Finally, we analyse the Fisher Effect in the Spanish case with a preliminary analysis in...
Persistent link: https://www.econbiz.de/10009705770
Over the last two decades, a number of financial disasters have occurred due to failure in risk management procedures. If some, as the Asian financial crisis, had a very much more muted global impact (even though they sent shock waves through global financial markets, the main damage were fairly...
Persistent link: https://www.econbiz.de/10009743539
We examine whether country fundamentals help explain the cross-section of currency excess returns. For this purpose, we consider fundamental variables such as default risk, foreign exchange rate regime, capital control as well as interest rate in the multi-factor model framework. Our empirical...
Persistent link: https://www.econbiz.de/10011568328
This paper investigates the interaction between stock prices and real exchange rates by applying monthly data from Turkey for the period between January 2001 and September 2016. This study uses the autoregressive distributed lag (ARDL) model and the Error Correction Model (ECM) in order to...
Persistent link: https://www.econbiz.de/10011649295
Dieser Artikel zeigt, dass eine Beimischung von Kryptowährungen in ein Portfolio, bestehend aus mehreren deutschen Asset-Klassen, mit Vorsicht zu betrachten ist. Auf Grund einer hohen realisierten Volatilität werden Kryptowährungen unter einem Markowitz- und Risikoparitätsansatz nur...
Persistent link: https://www.econbiz.de/10012053532
This paper applies a recent method proposed by Maggiori (The U.S. Dollar Safety Premium, 2013) to estimate the Swiss franc safety premium. The results show that the three-step instrumental variable approach as used by Maggiori does not work for the Swiss franc exchange rates. The price of risk...
Persistent link: https://www.econbiz.de/10011962943