Results 11 to 20 of about 46,701 (311)
An investigation of risk and return in forward foreign exchange [PDF]
Journal of International Money and Finance, 1984 This paper examines the determination of risk premiums in foreign exchange markets. The statistical model is based on a theoretical model of asset pricing, which leads to severe cross-equation constraints. Statistical tests lead to a rejection of these constraints.
Robert J. Hodrick, Sanjay Srivastava
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Properties of foreign exchange risk premiums [PDF]
Journal of Financial Economics, 2012 We study the properties of foreign exchange risk premiums that can explain the forward bias puzzle, defined as the tendency of high-interest rate currencies to appreciate rather than depreciate. These risk premiums arise endogenously from the no-arbitrage condition relating the term structure of interest rates and exchange rates.
Sarno, Lucio +2 more
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Buletin Ekonomi Moneter dan Perbankan, 2004 In a free floating rate system, the exchange rate is determined directly by market forces, and is liable to fluctuate continually, to follow changing market condition.
Indra Suhendra
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Institutional Investors and Foreign Exchange Risk [PDF]
SSRN Electronic Journal, 2010 We study institutional appetite for stocks with FX exposure, and find variation among institution types. Institutions that are by their nature more likely to engage in active management of foreign exchange risk in their portfolio, namely mutual funds and hedge funds seek stocks with foreign exchange exposure.
Xu, Danielle, Korkeamäki, Timo
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Discrete Dynamics in Nature and Society, 2023 In the current complex global economic background, international capital flows are becoming more frequent. Based on this, this paper takes international portfolio investment as the research object and empirically tests the causal relationship and control
Chaoyi Yu, Zhice Wang
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Explore the Application of Financial Engineering in the Management of Exchange Rate Risk
SHS Web of Conferences, 2015 In the background where the domestic enterprises commonly have a weak protection consciousness against the exchange rate risk, this article makes a deep analysis based on the definition of exchange rate risk and its cause.
Yang Liu
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Covered interest arbitrage opportunities in the South African foreign exchange market
South African Journal of Business Management, 1987 The Interest Parity Theory states that in an efficient market, any interest differential between local and foreign sources of finance will be offset by the forward premium/discount.
C. de J. Correia, R. F. Knight
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KRW/USD Exchange Rate Volatility and Efficient Risk Management
East Asian Economic Review, 1999 This thesis analyzes the relationship between the exchange rate of Korean Won and US dollar and the amount of foreign exchange, and studies the direction of the amendment of the risk control of foreign exchange.
Sang-Yong Joo +2 more
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PLoS ONE, 2023 This study employs the network connectedness approach to examine the risk spillover between the economic policy uncertainty (EPU) and exchange rate volatility (ERV) of 21 countries.
Panpan Wang, Yishi Li, Xiaoxing Liu
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Profits, risk, and uncertainty in foreign exchange markets [PDF]
Journal of Monetary Economics, 1993 This paper examines the properties of nominal profits from speculation in dollar-dominated forward contracts using a representative agent cash-in-advance model, modified to allow for heteroscedasticity in the exogenous processes. The model is simulated by estimating exogenous processes from the data and the remaining free parameters with a simulated ...
Canova, Fabio, Marrinan, Jane
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