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Systematic consumption risk in currency returns

Hoffmann, Mathias; Suter, Rahel - 2013

boom yields consistently positive excess returns. This excess return compensates for the risk of high negative returns in … countries on risk aversion, and low (high) risk aversion currencies depreciate (appreciate) in times of global turmoil. …

Persistent link: https://www.econbiz.de/10009752999

Currency risk : comovements and intraday cojumps

Lahaye, Jérôme - In: Annals of economics and statistics 123/124 (2016), pp. 53-76

Persistent link: https://www.econbiz.de/10011592734

Systematic consumption risk in currency returns

Hoffmann, Mathias; Studer-Suter, Rahel - In: Journal of international money and finance 74 (2017), pp. 187-208

Persistent link: https://www.econbiz.de/10011787938

Financial assets, expected return and risk, speculation, uncertainty, and exchange rate determination

Kallianiotis, Ioannis N.; Bianchi, Karen; Arize, … - In: European research studies 23 (2020) 3, pp. 3-30

Persistent link: https://www.econbiz.de/10012286910

Global and regional risks in currency returns

Rendon, Jairo A. - In: International journal of theoretical and applied finance 22 (2019) 8, pp. 1-25

Persistent link: https://www.econbiz.de/10012183303

Does policy uncertainty affect equity, commodity, interest rates, and currency markets? : evidence from CBOE's volatility index

Shaikh, Imlak - In: Journal of business economics and management 21 (2020) 5, pp. 1350-1374

Economic policy drives investment, production, employment, and other macroeconomic indicators of the economy. The study examines the equity, commodity, interest rates, and currency markets, taking into consideration the US economic policy uncertainty (EPU) index. The present work determines the...

Persistent link: https://www.econbiz.de/10012271841

The words have power: the impact of news on exchange rates

Shugliashvili, Teona - 2023

Persistent link: https://www.econbiz.de/10014338460

Spillovers from stock markets to currency markets : evidence from Copula-CoVar with time-varying higher moments

Usman, Muhammad; Umar, Zaghum; Gubareva, Mariya; Dang … - In: Applied economics 55 (2023) 52, pp. 6091-6114

Persistent link: https://www.econbiz.de/10014381519

A global model of international yield curves : no-arbitrage term structure approach

Kaminska, Iryna; Meldrum, Andrew; Smith, James - In: International journal of finance & economics : IJFE 18 (2013) 4, pp. 352-374

Persistent link: https://www.econbiz.de/10015180006

FX dealer constraints and external imbalances

Boer, Jantke de; Eichler, Stefan - 2024

intermediary constraints index capturing riskbearing capacity. We find that constraints are a priced risk factor in currency … risk premia, but pay lower (higher) returns when constraints tighten. Tightening constraints are associated with a …

Persistent link: https://www.econbiz.de/10015211360