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The Cross-Section of Currency Volatility Premia
Della Corte, Pasquale - 2019
We identify a global risk factor in the cross-section of implied volatility returns in currency markets. A zero-cost strategy that buys forward volatility agreements with downward sloping implied volatility curves and sells those with upward slopes - volatility carry strategy - generates...
Persistent link: https://www.econbiz.de/10012902489
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Currency Risk Premia and Uncovered Interest Parity in the International CAPM
Balvers, Ronald J. - 2013
currency risk in the International CAPM context. Their returns are the currency risk premia. Since the UIP positions on average … use this observation to generate a specific conditional version of the International CAPM. A GMM approach shows that the … conditional model performs well, while the unconditional International CAPM is (marginally) rejected. The paper thus argues that …
Persistent link: https://www.econbiz.de/10013078881
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Nontraded Sector Growth Risks and Economic Sizes in International Asset Pricing
To, Thuy Duong - 2020
international trades in other sectors. The mitigation decreases with the host country's size because a larger economy needs to …
Persistent link: https://www.econbiz.de/10012848987
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Online Appendix : International Diversification Benefits with Foreign Exchange Investment Styles
Kroencke, Tim Alexander - 2012
Schrimpf (2012), "International Diversification Benefits with Foreign Exchange Investment Styles".This paper studies portfolio … well-diversified international portfolios. Our results suggest that FX investment styles generate significant improvements …-of-sample experiment mimicking investor decisions in real-time.The paper "International Diversification Benefits with Foreign Exchange …
Persistent link: https://www.econbiz.de/10013096457
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The $4 Trillion Question : What Explains FX Growth Since the 2007 Survey?
King, Michael R. - 2013
Daily average foreign exchange market turnover reached $4 trillion in April 2010, 20% higher than in 2007. Growth owed largely to the increased trading activity of “other financial institutions”, which contributed 85% of the higher turnover. Within this customer category, the growth is...
Persistent link: https://www.econbiz.de/10013094040
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International Macro-Finance
Pavlova, Anna - 2011
International macro-finance is a new area of open economy macroeconomics that brings portfolio choice and asset pricing … considerations into models of international macroeconomics. The importance of these considerations - typically relegated to Finance … and largely overlooked in traditional macroeconomics - for the international macroeconomy have been underscored by a …
Persistent link: https://www.econbiz.de/10013131540
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Global Liquidity Risk in the Foreign Exchange Market
Banti, Chiara - 2011
Using a broad data set of 20 US dollar exchange rates and order flow of institutional investors over 14 years, we construct a measure of global liquidity risk in the foreign exchange (FX) market. Our FX liquidity measure may be seen as the analogue of the well-known Pastor-Stambaugh liquidity...
Persistent link: https://www.econbiz.de/10013118806
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Risk Premia in Forward Foreign Exchange Markets : A Comparison of Signal Extraction and Regression Methods
Wang, Zhiguang - 2011
We investigate possible presence of time-varying risk premia in forward pound, yen,and Euro monthly exchange rates versus the US dollar 3 over the last two decades. We study this issue using regression techniques and separately using a signal plus noise model. Our models account for time-varying...
Persistent link: https://www.econbiz.de/10013122689
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The Quanto Theory of Exchange Rates
Kremens, Lukas - 2017
We present a new, theoretically motivated, forecasting variable for exchange rates that is based on the prices of quanto index contracts, and show via panel regressions that the quanto forecast variable is a statistically and economically significant predictor of currency appreciation. We also...
Persistent link: https://www.econbiz.de/10012958740
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Cross-Sectional Return Dispersion and Currency Momentum
Eriksen, Jonas N. - 2019
I assess the relation between cross-sectional return dispersion in foreign exchange (FX) markets and currency momentum. I find that cross-sectional dispersion is priced in the cross-section of currency momentum returns and that an unexpected increase in cross-sectional dispersion is associated...
Persistent link: https://www.econbiz.de/10012901550