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Risk and Exchange Rates

Obstfeld, Maurice - 1998

a sticky-price alternative to Lucas's (1982) exchage rate risk premium model. We show that the level risk premium' in …

Persistent link: https://www.econbiz.de/10012472119

Asymmetric liquidity risk and currency returns before and during COVID-19 pandemic

Palwishah, Rana; Kashif, Muhammad; Ur Rehman, Mobeen; … - In: International review of financial analysis 91 (2024), pp. 1-16

Persistent link: https://www.econbiz.de/10014446983

The equilibrium risk premium on the forward market for foreign currency

Broll, Udo; Eckwert, Bernhard - 1996

This paper constructs an intertemporal model of the spot and forward markets for foreign exchange and shows that in equilibrium the forward market is unbiased, i.e., the forward rate is equal to the expected spot rate which will prevail in the market next period. This holds true as long as the...

Persistent link: https://www.econbiz.de/10009620811

An empirical examination of risk premiums in the Indian currency futures market

Kumar, Satish - In: Asia-Pacific journal of risk and insurance : APJRI 12 (2018) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10011813886

Currency futures' risk premia and risk factors

Bernoth, Kerstin; Hagen, Jürgen von; Vries, Casper G. de - 2020

represent a fair compensation for currency risk, we ﬁnd that non-durable consumption risk and market risk can explain excess …

Persistent link: https://www.econbiz.de/10012209529

Pricing the excess volatility in foreign exchange risk premium and forward rate bias

Swan, Tina T.; Swan, Bruce Q.; Chen, Xinfu - In: Applied mathematical finance 29 (2022) 1, pp. 33-61

Persistent link: https://www.econbiz.de/10013554066

Exchange rate expectations, the forward exchange rate bias and risk premia in target zones

Nessén, Marianne - 1994

Persistent link: https://www.econbiz.de/10000888951

An empirical investigation of risk premia in the foreign currency futures basis

Baum, Christopher F.; Barkoulas, John T. - 1994

Persistent link: https://www.econbiz.de/10000895363

Essays on exchange rates and international finance

Nessén, Marianne - 1994

Persistent link: https://www.econbiz.de/10000897134

On biases in the measurement of foreign exchange risk premiums

Bekaert, Geert; Hodrick, Robert J. - 1993

Persistent link: https://www.econbiz.de/10000855221

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