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Essays on FX variance risk premium, monetary policy and currency returns

Pozdeev, Igor - 2020

Variance risk premium is arguably one of the most important and robust risk premia documented in the academic finance … matrices of currency returns and combine them with ex post realized covariance matrices to determine the sign of the premium …, associate portfolios ranked from highest to lowest premium values with popular currency factors, study the determinants of the …

Persistent link: https://www.econbiz.de/10012214090

Bond convenience yields and exchange rate dynamics

Valchev, Rosen - 2017

Persistent link: https://www.econbiz.de/10011796957

Cyclical and persistent carry trade returns and forward premia

Zoubi, Haitham al- - In: The quarterly journal of finance 7 (2017) 4, pp. 1-33

Persistent link: https://www.econbiz.de/10011774154

Exchange rate dynamics and United States dollar-denominated sovereign bond prices in emerging markets

Hui, Cho H.; Lo, Chi-fai; Chau, Po-hon - 2017

The study conducts an empirical test on dollar-denominated sovereign credit spreads in emerging markets, including Brazil, Colombia, Mexico, the Philippines, the Russian Federation, and Turkey to examine their relationship with each country's exchange rate and the United States (US) Treasury...

Persistent link: https://www.econbiz.de/10011756971

Explaining exchange rate anomalies in a model with Taylor-rule fundamentals and consistent expectations

Lansing, Kevin J.; Ma, Jun - In: Journal of international money and finance 70 (2017), pp. 62-87

Persistent link: https://www.econbiz.de/10011752316

After the tide : commodity currencies and global trade

Ready, Robert; Roussanov, Nikolai; Ward, Colin - In: Journal of monetary economics 85 (2017), pp. 69-86

Persistent link: https://www.econbiz.de/10011745581

Taxonomy of global risk, uncertainty, and volatility measures

Datta, Deepa Dhume; Londono, Juan M.; Sun, Bo; Beltran, … - 2017

A large number of measures for monitoring risk and uncertainty surrounding macroeconomic and financial outcomes have been proposed in the literature, and these measures are frequently used by market participants, policy makers, and researchers in their analyses. However, risk and uncertainty...

Persistent link: https://www.econbiz.de/10011780277

The forward-discount puzzle in Central and Eastern Europe

Hayward, Rob; Hölscher, Jens - In: Comparative economic studies 59 (2017) 4, pp. 472-497

Persistent link: https://www.econbiz.de/10011785415

Exchange rate risk and business cycles

Lloyd, Simon; Marin, Emile A - 2020

Persistent link: https://www.econbiz.de/10012534804

Dynamic spillover effects of macroeconomic risks on foreign exchange markets in emerging countries

Güngör, Arifenur; Güngör, Mahmut Sami - In: The empirical economics letters : a monthly … 19 (2020) 7, pp. 683-692

Persistent link: https://www.econbiz.de/10012596724