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Factors Affecting the Exchange Rate Risk Premium
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TLDR
In this article, the authors identify and examine the risk premium of the exchange rate; then, determine the factors that cause it, and to measure its variance by using a GARCH-M model.Citations
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How Efficient is the Foreign Exchange Market
TL;DR: In this article, the degree of efficiency in the foreign exchange market by using four exchange rates was measured using different theoretical models, like the random walk hypothesis, unbiased forward rate hypothesis, composite efficiency hypothesis, the semi-strong market efficiency, and the exchange rate expectations based on anticipated and unanticipated events.
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Exchange Rate Expectations
TL;DR: In this paper, the exchange rate expectations, which are broad models of exchange rate forecasting and efficiency, by looking at approaches, such as the static expectations, the extrapolative, the adaptive, the rational, the regressive, and some general specifications of the above expectations, are investigated.
Dissertation
Taylor rule estimation with the presence of a ZLB-period : how the inclusion of shadow rate affect the precision of Taylor rule estimation on the federal funds rate.
TL;DR: In this paper, the authors used the shadow rate to measure the effect of monetary policy in the United States from 1987 to 2015 using a Taylor rule and found that shadow rate can be used as a tool to analyze monetary policy using data with the presence of a zero lower bound.
References
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Book
Applied Econometric Time Series
TL;DR: In this article, the authors present an alternative solution method for Deterministic Processes by iteratively solving homogeneous difference equation and finding particular solutions for deterministic processes, and conclude that the proposed solution is the best solution.
Journal ArticleDOI
Estimation of Time Varying Risk Premia in the Term Structure: the ARCH-M Model
TL;DR: In this paper, an extension of the ARCH model was proposed to allow the conditional variance to be a determinant of the mean and is called ARCH-M. The model explains and interprets the recent econometric failures of the expectations hypothesis of the term structure.
Journal ArticleDOI
Exchange Rates, Interest Rates, and the Risk Premium
TL;DR: The uncovered interest parity puzzle as mentioned in this paper concerns the empirical regularity that high interest rate countries tend to have high expected returns on short term deposits, and a separate puzzle is that high real interest rate country tends to have currencies that are stronger than can be accounted for by the path of expected real interest differentials under uncovering interest parity, which has apparently contradictory implications for the relationship of the foreign exchange risk premium and interest-rate differentials.
Journal ArticleDOI
Interest rates and risk premia in the stock market and in the foreign exchange market
TL;DR: In this paper, the authors show that increases in interest rates are associated with predictable increases in the volatility of returns in both markets, and that expected returns both in the stock market and in the foreign exchange market are negatively correlated with nominal interest rates.
Journal ArticleDOI
Volatility Risk Premia and Exchange Rate Predictability
TL;DR: In this article, the authors discover a new currency strategy with highly desirable return and diversification properties, which uses the predictive capability of currency volatility risk premia for currency returns, and the strategy carries a large weight in a minimum-variance portfolio of commonly employed currency strategies.
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