Search Results - subject:"Currency Premium"

Exchange rate dynamics and monetary spillovers with imperfect financial markets

Akinci, Ozge; Queralto, Albert - 2019

Persistent link: https://www.econbiz.de/10012065071

Dissecting currency momentum

Zhang, Shaojun - In: Journal of financial economics 144 (2022) 1, pp. 154-173

Persistent link: https://www.econbiz.de/10013407087

Balance sheets, exchange rates, and international monetary spillovers

Akinci, Ozge; Queralto, Albert - 2018

home currency's premium and an exchange rate depreciation. We use the model to investigate how international monetary …

Persistent link: https://www.econbiz.de/10012144692

Balance sheets, exchange rates, and international monetary spillovers

Akinci, Ozge; Queralto, Albert - 2018

home currency's premium and an exchange rate depreciation. We use the model to investigate how international monetary …

Persistent link: https://www.econbiz.de/10011857420

A new technique for estimating currency premiums

Imakubo, Kei; Kamada, Koichiro; Kan, Kazutoshi - 2015

Persistent link: https://www.econbiz.de/10012178418

Exchange rates, expected returns and risk: UIP unbound

Munro, Anella - Crawford School of Public Policy, Australian National … - 2014

No-arbitrage implies a close link between exchange rates and interest returns, but evidence of that link has been elusive. This paper derives an exchange rate asset price model with consumption-risk adjustments. Interest rates and exchange rates reflect common risks which bias their reduced-form...

Persistent link: https://www.econbiz.de/10011095372

The transmission of the financial crisis in 1907 : an empirical investigation

Tallman, Ellis W.; Moen, Jon R. - In: Cliometrica : journal of historical economics and … 12 (2018) 2, pp. 277-312

Persistent link: https://www.econbiz.de/10011948529

Pricing the Currency Premium Under Flexible Exchange Rates: Evidence from South Africa

Grandes, Martin; Peter, Marcel; Pinaud, Nicolas - In: Ensayos Económicos 1 (2010) 60, pp. 7-52

The currency premium is one of the three components of the differential between local and foreign interest rates … currency premium. Using monthly data over the period 1997-2008, we carry out an empirical analysis of the determinants of the 1 …-month and 1-year currency premium. We find that the currency premium at both horizons are driven by long-run movements in …

Persistent link: https://www.econbiz.de/10010551981

Uninsurable Risk and Financial Market Puzzles

Basu, Parantap; Semenov, Andrei; Wada, Kenji - Volkswirtschaftliche Fakultät, … - 2009

constraint. When considering the equity premium, currency premium, risk-free rate, and consumption-real exchange rate puzzles in …

Persistent link: https://www.econbiz.de/10008574283

Pricing the currency premium under flexible exchange rates : evidence from South Africa

Grandes, Martín; Peter, Marcel; Pinaud, Nicolas - In: Ensayos económicos 60 (2010), pp. 7-52

Persistent link: https://www.econbiz.de/10011489772