This paper investigates the random walk behavior of currency returns for 15 African countries, namely, Ethiopia, Gambia, Ghana, Kenya, Madagascar, Mali, Mauritius, Morocco, Nigeria, Rwanda, Sierra Leone, South Africa, Tanzania, Uganda, and Zambia. In particular, the paper applies the...

This paper reexamines the widely-held wisdom that the currency exposure of international investments should be entirely hedged. It finds that the previously documented ability of hedges to reduce portfolio return variance holds at short horizons, but not at long horizons. At horizons of several...

We propose a new decomposition of the variance risk premium (VRP) in terms of upside and downside VRPs. These components reflect market compensation for changes in good and bad uncertainties. Empirically, we establish that the downside VRP is the main component of the VRP. We find a positive and...

Three recent rounds (2003, 2006, and 2009) of the Family Income and Expenditure Survey are matched to rainfall data from 43 rainfall stations in the Philippines to quantify the extent to which unusual weather has any negative effects on the consumption of Filipino households. It is found that...

Should policymakers and applied macroeconomists worry about the difference between real-time and final data? We tackle this question by using a VAR with time-varying parameters and stochastic volatility to show that the distinction between real-time data and final data matters for the impact of...

This paper provides novel insights into the dynamic properties of variance and semivariance premia. Considering nine international stock market indices, we find consistent evidence of significantly negative total and downside (semi)variance premia of around -15 bps per month. These premia almost...