Download or read book Currency Futures Risk Premia and Risk Factors written by Kerstin Bernoth and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The use of futures exchange contracts instead of forwards completes the maturity spectrum of the correlation between the spot yield and the premium. We find that the forward premium puzzle (FFP) depends significantly on the maturity horizon of the futures contract and the choice of sampling period. The FFP appears to be a pre-crisis phenomenon and is only observed for maturities longer than about one month. When examining whether the observed excess returns of futures contracts represent a fair compensation for currency risk, we find that non-durable consumption risk and market risk can explain excess currency returns. But only in the pre-crisis period and when the maturity of the assets is longer than about three months.
Download or read book Risk Premia and Price Volatility in Futures Markets written by G. S. Maddala and published by . This book was released on 1990 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book An Empirical Investigation of Risk Premia in the Foreign Currency Futures Basis written by Christopher F. Baum and published by . This book was released on 1994 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Currency Risk Premia in Global Stock Markets written by Shaun K. Roache and published by International Monetary Fund. This book was released on 2006-08 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: Large fundamental imbalances persist in the global economy, with potential exchange rate implications. This paper assesses whether exchange rate risk is priced across G-7 stock markets. Given the multitude of hedging instruments available, theory suggests that stock market investors should not be compensated for currency risk. However, data covering 33 industry portfolios across seven major stock markets suggest that not only is exchange rate risk priced in many markets, but that it is time-varying and sensitive to currency-specific shocks. With stock market investors typically exhibiting "home bias," this suggests that investors are using equity asset proxies to hedge the exchange rate risks to consumption.
Download or read book Time Varying Risk Premia in Futures Markets written by Mr.Manmohan S. Kumar and published by International Monetary Fund. This book was released on 1990-12-01 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper undertakes an econometric investigation into the presence of risk premium in commodity futures markets. The statistical tests are derived from a formal model of asset pricing and are applied to futures prices in a variety of commodity markets. The results suggest that for several commodities there is evidence of a time varying risk premium, particularly in futures contracts maturing six months ahead. The implications of the study for the efficiency of the futures markets and the costs of using these markets for hedging are also noted.
Download or read book Testing the Risk Premium and Cost of carry Hypotheses for Currency Futures Contracts written by John M. Sequeira and published by . This book was released on 1996 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on International Financial Markets written by David Tien and published by . This book was released on 2002 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Managing Currency Risk written by John J. Stephens and published by John Wiley & Sons. This book was released on 2003-07-07 with total page 218 pages. Available in PDF, EPUB and Kindle. Book excerpt: Control the number one cause of financial loss currency fluctuation With cross-border commerce now the global norm, companies must now face the greatest threat to their financial stability: financial losses due to currency fluctuations. Written by an international business and banking expert, Managing Currency Risk is an authoritative, accessible look at the variety of methods used to minimize currency risk. Written for the financial market novice, the book explains the nature and uses of a variety of financial instruments without complicated mathematical equations. Discussed in detail are all forms of currency derivatives, such as forward foreign exchange, OTC currency options, currency swaps, currency futures, and options which are illustrated with international examples and case studies. A practical guide on every aspect of currency risk, Managing Currency Risk also serves as a guide to navigating your firm through turbulent economic times.
Download or read book Time Varying Risk Premia Volatility and Technical Trading Rule Profits written by Bong-Chan Kho and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper re-examines the efficiency of foreign currency futures markets by evaluating the role of time-varying risk premia and volatility in explaining technical trading rule profits. The results show that large parts of the technical rule profits can be explained by the time-varying risk premia estimated from a general model for the conditional CAPM: The bootstrap distributions for the profits under the null model average one-third to one-half of the actual profits and enclose the actual profits well within the 90% confidence intervals. Time-varying conditional volatility explains an additional 10% of the profits.
Download or read book The Role of Currency Futures in Risk Management written by Daniel Plaza and published by GRIN Verlag. This book was released on 2011-06-08 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: Seminar paper from the year 2011 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 83%, University of Westminster (Msc Finance and Accounting), course: INTERNATIONAL RISK MANAGEMENT, language: English, abstract: The purpose of this report is to discuss the role of currency futures in risk management as well as their main advantages and drawbacks. The report will analyse the global rate of utilization of currency futures by comparison with other main currency derivatives and the geographic differences in their usage. Possible explanations for the preference for certain currency derivatives in risk management will be given. The usefulness of currency futures rate as an estimator of future spot rate will be discussed by reviewing and summarizing the existing literature on this subject. Practical applications of currency futures also will be covered in this report.
Download or read book Global Risks in the Currency Market written by George Panayotov and published by . This book was released on 2019 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: Global risks allow theoretical models of the currency market to explain currency risk premia. Yet, there is no consensus in the empirical literature on which factors can represent global risks. We develop an asset pricing test for global risk factors that relies on the key assumption of a distinct U.S. global risk exposure. Using numeraire-invariant test assets that are particularly suitable for studying global risks, we apply the test on a large set of factors used in recent studies of currency risk. We find that only equity market risk can represent a global risk in the currency market.
Download or read book Global Price of Foreign Exchange Risk and the Local Factor written by Francesca Carrieri and published by . This book was released on 2005 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides new evidence on the pricing of exchange risk in global stock markets. We conduct empirical tests in a conditional setting with a multivariate GARCH-in-Mean specification and time-varying prices of risk for the US and nine emerging markets to determine whether exchange risk is priced under alternative model specifications and exchange rate measures. Since inflation rates in emerging markets are high and volatile, we argue that the use of real exchange rates offer a better proxy for risk stemming from purchasing power parity deviations. In addition to using real exchange rates, the empirical model allows for partial integration by including a time-varying price of local risk. Our main results support the hypothesis of significant exchange risk premia related to both emerging and developed markets. The price of exchange risk is also significantly time-varying consistent with previous evidence for major developed markets. The empirical evidence also suggests that there is variation across countries and over time in the relative importance of exchange risk premia. However, currency risk remains an important global risk factor even after accounting for local risk.
Download or read book The CME Group Risk Management Handbook written by CME Group and published by John Wiley & Sons. This book was released on 2010-05-25 with total page 1253 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for The CME Group Risk Management Handbook "Wow! The CME Group Risk Management Handbook is a 'ten strike' and long overdue. A must-read and reference for the risk management industry!" —Jack Sandner, retired chairman of CME Group, member of the Executive Committee "This is a powerful book for its integration of futures and options markets with an understanding of the whole economy. It is an eye-opener to see how central these markets are to our economic lives." —Robert J. Shiller, Okun Professor of Economics, Yale University; Chief Economist, MacroMarkets LLC "Risk management is essential to successful investing, and The CME Group Risk Management Handbook provides the essentials for understanding risk management. In the wake of the financial turmoil of the last few years, managing risk should be part of any investment program. Among the key elements of risk management are stock index, bond, currency, and commodity futures as well as a growing number of futures, options, swaps, and other financial instruments built on indices tracking housing prices, weather conditions, and the economy. The CME Group Risk Management Handbook offers a comprehensive guide for using all of these to better manage financial risks." —David M. Blitzer, PhD, Managing Director and Chairman of the Index Committee, S&P Indices "Dare we ignore the advice of a financial institution, the largest of its kind in the world, that navigated the recent financial crisis without the aid of a single TARP dollar or access to the Fed's cheap loans? For CME Group, risk management has meant risk minimization as it enters its 151st year of life and its 85th year of central counterparty clearing without a single trading debt unpaid. It has been, and continues to be, a leader by example." —Philip McBride Johnson, former CFTC chairman "For the first time, a comprehensive handbook outlining the futures market in today's world is available. The CME Group Risk Management Handbook covers futures basics for the novice trader, while the veterans will benefit from an in-depth look at options and hedging. This handbook is a necessity for any professional, investor, or other market participant seeking to manage risk in the perpetually changing futures market." —H. Jack Bouroudjian, CEO, Index Futures Group
Download or read book Estimating a Latent Risk Premium in Exchange Rate Futures written by Kerstin Bernoth and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Volatility Risk Premia and Exchange Rate Predictability written by Pasquale Della Corte and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the predictive information content in foreign exchange volatility risk premia for exchange rate returns. The volatility risk premium is the difference between realized volatility and a model-free measure of expected volatility that is derived from currency options, and reflects the cost of insurance against volatility fluctuations in the underlying currency. We find that a portfolio that sells currencies with high insurance costs and buys currencies with low insurance costs generates sizeable out-of-sample returns and Sharpe ratios. These returns are almost entirely obtained via predictability of spot exchange rates rather than interest rate differentials, and these predictable spot returns are far stronger than those from carry trade and momentum strategies. Canonical risk factors cannot price the returns from this strategy, which can be understood, however, in terms of a simple mechanism with time-varying limits to arbitrage.
Download or read book Currency Risk Premia in Global Stock Markets written by Shaun K. Roache and published by . This book was released on 2006 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Efficiency of Foreign Exchange Markets written by Frank Leiber and published by . This book was released on 1993 with total page 120 pages. Available in PDF, EPUB and Kindle. Book excerpt: Analyse: The efficient market hypothesis is tested using both a forward looking proxy of the risk premium and data on currency futures/-options contracts.
