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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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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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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.
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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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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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Understanding bilateral exchange rate risks
Journal of International Money and Finance, 2016Abstract We apply the autoregressive conditional jump intensity (ARJI) model to weekly bilateral exchange rate returns of 31 countries and examine the determinants of bilateral exchange rate risks over the period 2001–2013. Consistent with the balance sheet effects in the open economy literature, we find that bilateral exchange rate risks are ...
Guangzhong Li, Jiaqing Zhu, Jie Li
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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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Valuing Operational Flexibility Under Exchange Rate Risk
Operations Research, 1996In this paper, we develop a stochastic dynamic programming formulation for the valuation of global manufacturing strategy options with switching costs. Overall, we adopt a hierarchical approach. First, exchange rates are modeled as stochastic diffusion processes that exhibit intercountry correlation.
Huchzermeier, Arnd, Cohen, Morris A.
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Risk appetite, carry trade and exchange rates
Global Finance Journal, 2010Abstract Using exchange rate data from four different countries (time zones), we examine the relationship between the Yen exchange rate against major currencies (i.e. USD/JPY, EUR/JPY, GBP/JPY, AUD/JPY and NZD/JPY) and measures of risk appetite (i.e. the S&P500 index, Dow Jones Industrial Average index and the VIX index).
Ming-Hua Liu +2 more
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