Search Results - subject:"Exchange Rate Uncertainty"

The Term Structure of Currency Futures' Risk Premia

Bernoth, Kerstin; Hagen, Jürgen von; Vries, Casper G. de - 2021

The use of futures exchange contracts instead of forwards completes the maturityspectrum of the correlation between the spot yield and the premium. We find that theforward premium puzzle (FPP) depends significantly on the maturity horizon of thefutures contract and the choice of the sampling...

Persistent link: https://www.econbiz.de/10013311513

Exchange Rates, Foreign Currency Exposure and Sovereign Risk

Bernoth, Kerstin; Herwartz, Helmut - 2021

We quantify the causal link between exchange rate movements and sovereign risk of 16 major emerging market economies (EMEs) by means of structural vector autoregressive models (SVARs) and conditional on data from 10/2004 through 12/2016. We apply a novel data-based identification approach of the...

Persistent link: https://www.econbiz.de/10013311514

Currency Risk and Capital Accumulation

Wang, Jingye - 2021

The "Lucas Paradox" states that there are large and persistent differences in capital-output ratios across countries, suggesting capital is not flowing to countries where it is relatively scarce. In the data, capital-output ratios vary a lot cross-sectionally even within developed countries, and...

Persistent link: https://www.econbiz.de/10013313489

Hedging against exchange rate risk : maturity choice and roll-over risk

Bertsch, Christoph - In: Sveriges Riksbank economic review (2022) 1, pp. 79-114

Persistent link: https://www.econbiz.de/10013461298

The Impact of Exchange Rate Uncertainty on Exports : A Panel VAR Analysis

Muinelo-Gallo, Leonel; Miranda Lescano, Ronald; … - 2021

In this paper we analyze the impact of exchange rate uncertainty on export flows among a panel of 27 countries … different effect of exchange rate uncertainty on exports. This has a negative impact in manufacturing-exporting countries, but …, involving the flexibility or rigidities of the export adjustment arising exchange rate uncertainty …

Persistent link: https://www.econbiz.de/10013251922

Systematic intervention and currency risk premia

Fratzscher, Marcel; Heidland, Tobias; Menkhoff, Lukas; … - 2021

Persistent link: https://www.econbiz.de/10013187819

Currency risk premia redux

Nucera, Federico; Sarno, Lucio; Zinna, Gabriele - 2021

Persistent link: https://www.econbiz.de/10013187820

The Gold Exposure of Institutional Investors

Baur, Dirk G.; Hoang, Lai T.; Casavecchia, Lorenzo - 2021

What is the optimal weight of gold in an investment portfolio? Suggestions range from 0% to more than 20%, but there is no study that systematically investigates this issue. We analyze the gold holdings (gold ETFs) of institutional investors based on 13-F filings and find that 30% of all...

Persistent link: https://www.econbiz.de/10014351799

Effect of exchange rate uncertainty on bilateral trade performance in SAARC countries: A gravity model analysis

Banik, Banna - In: International Trade, Politics and Development (ITPD) 5 (2021) 1, pp. 32-50

Purpose - Exchange rate uncertainty leads to an indecisive environment for imports and exports that would condense … examine, empirically, the effect of exchange rate uncertainty on bilateral trade performance, focusing on eight SAARC member … of exchange rate uncertainty on trade is pretty small. The negative correlation between exchange rate volatility and …

Persistent link: https://www.econbiz.de/10015413474

Effect of exchange rate uncertainty on bilateral trade performance in SAARC countries : a gravity model analysis

Banik, Banna - In: International trade, politics and development 5 (2021) 1, pp. 32-50

Persistent link: https://www.econbiz.de/10012618046