implications for exchange rates, volatility, returns to currency investing, and transaction costs. This blow-by-blow" narrative is … terms of foreign exchange market dynamics. An implementable financial stress index (FSI) is created and then used to … currencies) and we show that such an index has potential value in protecting a portfolio against loss during periods of stress …

We analyze time-varying exchange rate co-movements and volatility spillovers between the Czech koruna, the Polish zloty … the Diebold Yilmaz spillover index to examine the periods prior to and during the GFC, plus during and after the EU debt … increase but hedging costs rise as well. Based on the spillover index we document that during calm periods most of the …

, oil price volatility, as well as by the actions of the main central banks. Although funding risk has been present … measure of funding risk is the standard deviation of the magnitude of the funding constraints. This funding risk measure … constraints start binding at that time. We document evidence that since 2008 funding risk has affected the magnitude of currency …

-specific risk factors and use the joint conditional distribution of these components to obtain forecasts of future carry trade … competing models. We show that the forecasting gains translate into economically and statistically significant (risk …

of portfolio and risk management decisions. …

This paper offers a detailed investigation of the foreign exchange risk premium using a structural relationship in the … inflation-index bond market, firstly introduced by Clarida (2012). Unlike the conventional VAR approach, this approach estimates … risk premium through the non-arbitrage relationship between investing inflation-indexed bonds from two countries and works …

financial crisis. If such liquidity risk exists and is undiversifiable, then loose monetary policy should be associated with a … risk premium. This paper tests for the existence of such a premium in US and global equity markets, in an asset pricing …

Over the last two decades, a number of financial disasters have occurred due to failure in risk management procedures …- and second-moment exchange rate exposure on individual firm value and the stock return volatility underlying exchange rate … risk of the Taiwanese firms decreases after the 1997 crisis but is higher after the 2007 crisis increasing thus their …