Results 11 to 20 of about 255,150 (314)
Exchange Rates and Sovereign Risk [PDF]
Management Science, 2022 An increase in a country’s sovereign risk, as measured by credit default swap spreads, is accompanied by a contemporaneous depreciation of its currency and an increase of its volatility. The relation between currency excess returns and sovereign risk is mainly driven by default expectations (rather than distress risk premia) and exposure to global ...
Pasquale Della Corte +3 more
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Risk Appetite and Exchange Rates [PDF]
SSRN Electronic Journal, 2010 We present evidence that fluctuations in the aggregate balance sheets of financial intermediaries forecast exchange rate returns—at weekly, monthly, and quarterly frequencies, both in and out of sample, and for a large set of countries. We estimate prices of risk using a cross-sectional, arbitrage-free asset pricing approach and show that balance ...
Adrian, Tobias +2 more
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Exchange Rate Risk and Business Cycles [PDF]
SSRN Electronic Journal, 2020 We show that currencies with a steeper yield curve tend to depreciate at business cycle horizons, in violation of uncovered interest parity (UIP), but the yield curve adds no explanatory power over and above interest differentials in explaining the exchange rate at longer horizons.
Lloyd, S. P., Marin, E. A.
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Exchange Rate and Political Risks, Again [PDF]
Emerging Markets Finance and Trade, 2010 We examine the effects of exchange rate and political risks on foreign direct investment (FDI) for multinationals. We examine FDI by U. S. firms at two levels: in all industries and on the subset of firms in manufacturing industries. When investing in developed economies, firms appear to consider past and present variation in exchange rates.
Gregory Clare, Ira N. Gang
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Exchange Rate Risk On The Mortgage Market
Real Estate Management and Valuation, 2015 Strict connections of the real estate market with the financial market are an unquestionable phenomenon at every level of investing, starting from the lowest individual investor, and finishing with national and transnational players.
Siemińska Ewa, Krajewska Małgorzata
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Modelling of the Exchange Rate Volatility and Uncertainty Impacts on Agriculture Import: Evidence from Iran [PDF]
مجله توسعه و سرمایه, 2022 Objective: Although most business models argue that exchange rate volatility increase uncertainty and risk, thereby reducing trade flows and imports; however, some other studies show the opposite results.
Ehsan Rajabi
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Risk, uncertainty, and exchange rates [PDF]
Journal of Monetary Economics, 1989 This paper is motivated by two facts: failure of log-linear empirical exchange rate models of the 1970's and the observed variability of risk premiums in the forward market. Rational maximizing models predict that changes in conditional variances of monetary policies, government spendings, and income growths affect risk premiums and induce conditional ...
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Risk and Asian Exchange Rate Regimes [PDF]
Global Economic Review, 2005 A panel regression gives evidence that more flexibility in Asian exchange rates reduces risk associated with bank borrowing abroad, but deviations from mean exchange rates, and from the renminbi, increase risk. Since the exchange rate regime affects bank behavior and the incentives to hedge, the results broadly support the bank run over the moral ...
Goyal, Ashima, Agarwal, Ankita
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İstanbul İktisat Dergisi, 2020 This study examines the impact of exchange rate and interest changes on stock returns and volatility of Turkish insurance companies using the EGARCH model for the period of 01/01/2009 to 15/04/2020.
İsmail Erkan Çelik
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Should government smooth exchange rate risk? [PDF]
Journal of Development Economics, 2002 Abstract A general equilibrium model is built to explain if there are circumstances in which exchange rate risk smoothing (ERRS) policies may bring a Pareto-improvement for an indebted small open (home) economy. The model shows that this is the case when overpessimistic foreign creditors demand a large spread on the default risk-free world interest ...
Ilan Goldfajn, Marcos Antonio Silveira
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