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Exchange rate regimes and the price of exchange rate risk
Economics Letters, 2004Abstract We investigate the price of exchange rate risk in the US stock market across exchange rate regimes. We find that exchange rate risk is a priced factor and that the sign of the price of risk is affected by the exchange rate regime. The results have important implications for risk management policies.
Richard Priestley, Bernt Arne Ødegaard
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Risk, Monetary Policy, and the Exchange Rate [PDF]
NBER Macroeconomics Annual, 2012 In this research, we provide new empirical evidence on the importance of time- varying uncertainty for the exchange rate and the excess return in currency markets. Following an increase in monetary policy uncertainty, the dollar exchange rate appreciates in the medium run, while an increase in the volatility of productivity leads to a dollar ...
Gianluca Benigno +2 more
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, 2003 Nominal exchange risk is a ubiquitous factor in international economic policy analysis. For example, sudden appreciations of the dollar following financial crises outside the United States often are ascribed to “safe haven” portfolio shifts. The elimination of national currencies in Europe has been rationalized in part by the claim that uncertain ...
Maurice Obstfeld, Kenneth Rogoff
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Exchange risk and exchange rate pass -through
2023This paper explores the hypothesis that the unresponsiveness of export pricing to exchange rate fluctuations may be partially the result of hedging activities trading agents engage in to eliminate exchange risk. In searching for answers to the incomplete pass-through phenomenon, the "new trade theory" has incorporated an industrial organization ...
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Exchange-Rate Risk and Exports
Problems of Economic Transition, 2014This article investigates the hypothesis that exchange-rate risk may have an effect on exports for a set of transition countries, namely, Belarus, Kazakhstan, Russia, and Ukraine. To assess this effect, although a two-step estimation approach has earned an extensive empirical record in the literature, a number of studies in this context do not appear ...
Hasanov, Akram Shavkatovich +1 more
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2017
Corporations conduct business in an increasingly global international context; in fact, the major national companies have evolved in recent years to become large companies worldwide. There are some examples of this in Spain such as Telefonica, Santander Bank, BBVA, Repsol, Iberdrola and so on, but globally the examples are countless.
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Corporations conduct business in an increasingly global international context; in fact, the major national companies have evolved in recent years to become large companies worldwide. There are some examples of this in Spain such as Telefonica, Santander Bank, BBVA, Repsol, Iberdrola and so on, but globally the examples are countless.
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National Institute Economic Review, 2008
Sterling has fallen markedly against other currencies in the past few months, and in January reached its lowest point against the euro (or its equivalent) since the last quarter of 1996, as we can see from figure 1, which uses the first three weeks of January 2008 as an indicator of the value that will be achieved in the whole first quarter.
Ray Barrell, Dawn Holland
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Sterling has fallen markedly against other currencies in the past few months, and in January reached its lowest point against the euro (or its equivalent) since the last quarter of 1996, as we can see from figure 1, which uses the first three weeks of January 2008 as an indicator of the value that will be achieved in the whole first quarter.
Ray Barrell, Dawn Holland
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Exchange risk and unanticipated changes in exchange rates
Journal of Banking & Finance, 1978Abstract In this paper exchange risk is defined as the unanticipated part of the future changes in the exchange rates of a given currency. The unanticipated component in the fluctuations of a given currency is identified on the basis of a dynamic equilibrium process which determines the anticipated changes in the future exchange rates.
Tamir Agmon, Ruth Arad
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Operational Hedging of Exchange Rate Risks
2016Exchange rate exposure of firms diminishes when imported intermediates and exports are denominated in currencies that move together. Appreciations of the domestic currency, raising foreign currency export prices, then also reduce marginal costs, allowing firms to counter the increase in foreign prices.
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Journal of International Money and Finance, 1993
Abstract A state space model which allows for the covariation of risk premiums and unexpected rates of depreciation is used to study exchange rate risk premiums. We find that exchange rate risk premiums have a high degree of persistence and the covariance of risk premiums and unexpected rates of depreciation is negative.
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Abstract A state space model which allows for the covariation of risk premiums and unexpected rates of depreciation is used to study exchange rate risk premiums. We find that exchange rate risk premiums have a high degree of persistence and the covariance of risk premiums and unexpected rates of depreciation is negative.
openaire +1 more source