Search Results - subject:"peso problem"

A century of arbitrage and disaster risk pricing in the foreign exchange market

Corsetti, Giancarlo; Marin, Emile A. - 2020

Persistent link: https://www.econbiz.de/10012501062

A century of arbitrage and disaster risk pricing in the foreign exchange market

Corsetti, Giancarlo; Marin, Emile A. - 2020

Persistent link: https://www.econbiz.de/10013190685

A Sharpe-ratio-based measure for currencies

Prado-Dominguez, Javier; Fernández-Herráiz, Carlos - In: European Journal of Government and Economics (EJGE) 4 (2015) 1, pp. 67-75

measure seems to gauge some information on the expected required return attached to the "peso problem". …

Persistent link: https://www.econbiz.de/10012217971

Learning about Disaster Risk: Joint Implications for Consumption and Asset Prices

Gillman, Max; Kejak, Michal; Pakos, Michal - Center for Economic Research and Graduate Education and … - 2014

Rietz (1988) and Barro (2006) subject consumption and dividends to rare disasters in the growth rate. We extend their framework and subject consumption and dividends to rare disasters in the growth persistence. Wemodel growth persistence by means of two hidden types of economic slowdowns:...

Persistent link: https://www.econbiz.de/10010842914

Learning about Rare Disasters: Implications For Consumption and Asset Prices

Gillman, Max; Kejak, Michal; Pakos, Michal - Department of Economics, University of Missouri-St. Louis - 2014

Rietz (1988) and Barro (2006) subject consumption and dividends to rare disasters in the growth rate. We extend their framework and subject consumption and dividends to rare disasters in the growth persistence. We model growth persistence by means of two hidden types of economic slowdowns:...

Persistent link: https://www.econbiz.de/10010937967

Long-Run Risk and Hidden Growth Persistence

Pakos, Michal - Volkswirtschaftliche Fakultät, … - 2013

An extensive literature has analyzed the implications of hidden shifts in the dividend growth rate. However, corresponding research on learning about growth persistence is completely lacking. Hidden persistence is a novel way to introduce long-run risk into standard business-cycle models of...

Persistent link: https://www.econbiz.de/10011111345

Are oil price forecasters finally right? Regressive expectations toward more fundamental values of the oil price

Reitz, Stefan; Rülke, Jan-Christoph; Stadtmann, Georg - 2009

We use oil price forecasts from the Consensus Economic Forecast poll to analyze how forecasters form their expectations. Our findings seem to indicate that the extrapolative as well as the regressive expectation formation hypothesis play a role. Standard measures of forecast accuracy reveal...

Persistent link: https://www.econbiz.de/10010299850

Uncovered interest parity in a partially Dollarized developing country: Does UIP hold in Bolivia (and if not, why not?)

Melander, Ola - 2009

-called peso problem could possibly account for the observed data, but there is also evidence of a time-varying risk premium, as …

Persistent link: https://www.econbiz.de/10010281302

Regime Switching Interest Rates and Fluctuations in Emerging Markets

Gruss, Bertrand; Mertens, Karel - Department of Economics, European University Institute - 2009

We estimate regime switching models for emerging market interest rates and embed the obtained nonlinear dynamics in a small open economy model with a financial friction. We show that the presence of an infrequent regime characterized by high level/high volatility of interest rates and the...

Persistent link: https://www.econbiz.de/10005004540

Uncovered Interest Parity in a Partially Dollarized Developing Country: Does UIP Hold in Bolivia? (And If Not, Why Not?)

Melander, Ola - Economics Institute for Research (SIR), … - 2009

-called peso problem could possibly account for the observed data, but there is also evidence of a time-varying risk premium, as … from UIP. The so-called peso problem could possibly account for the observed data, but there is also evidence of a time … dollarization, time-varying risk premium, peso problem, rational expectations. JEL codes: E43, F31, G15. The author gratefully …

Persistent link: https://www.econbiz.de/10005014555