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Book Time varying Sign switching Risk Perception on Foreign Exchange Markets

Download or read book Time varying Sign switching Risk Perception on Foreign Exchange Markets written by Giampero M. Gallo and published by . This book was released on 1995 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book Time varying sing switching Risk Perception on Foreign Exchange Markets

Download or read book Time varying sing switching Risk Perception on Foreign Exchange Markets written by Giampiero M. Gallo and published by . This book was released on 1995 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book The Time variation of Risk and Return in the Foreign Exchange and Stock Markets

Download or read book The Time variation of Risk and Return in the Foreign Exchange and Stock Markets written by Alberto Giovannini and published by . This book was released on 1988 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent empirical work indicates that, in a variety of financial markets, both conditional expectations and conditional variances of returns are time- varying. The purpose of this paper is to determine whether these joint fluctuations of conditional first and second moments are consistent with the Sharpe-Lintner-Mossin capital-asset-pricing model. We test the mean-variance model under several different assumptions about the time-variation of conditional second moments of returns, using weekly data from July 1974 to December 1986, that include returns on a portfolio composed of dollar, Deutsche mark, Sterling, and Swiss franc assets, together with the US stock market. The model is estimated constraining risk premia to depend on the time-varying conditional covariance matrix of the residuals of the expected returns equations. The results indicate that estimated conditional variances cannot explain the observed time-variation of risk premia. Furthermore, the constraints imposed by the static CAPH are always rejected.

Book The Time Variation of Risk and Return in Foreign Exchange Markets

Download or read book The Time Variation of Risk and Return in Foreign Exchange Markets written by Geert Bekaert and published by . This book was released on 1994 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book The Time Variation of Risk and Return in Foreign Exchange Markets

Download or read book The Time Variation of Risk and Return in Foreign Exchange Markets written by Geert Bekaert and published by . This book was released on 1996 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the statistical properties of high frequency nominal exchange rates and forward premiums in the context of a dynamic two-country general equilibrium model. Primary focus is on the persistence, variability, leptokurtosis and conditional heteroskedasticity of exchange rates and on the behavior of foreign exchange risk premiums. The model combines temporal dependencies in preferences with a transaction cost technology that generates a role for money. Agents in the economy make decisions on a weekly frequency and face shocks which display time-varying uncertainty. Simulations reveal that the model accounts for the statistical properties of exchange rate data much more accurately than previous structural models

Book Time varying Risk Premium in the Foreign Exchange Market

Download or read book Time varying Risk Premium in the Foreign Exchange Market written by Pamela H. Chang and published by . This book was released on 1992 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book THE TIME VARIATION OF RISK AND RETURN IN THE FOREIGN EXCHANGE AND STOCK MARKET

Download or read book THE TIME VARIATION OF RISK AND RETURN IN THE FOREIGN EXCHANGE AND STOCK MARKET written by Alberto GIOVANNINI and published by . This book was released on 1988 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book The Time variation of Risk Ad Return in the Foreign Exchange and Stock Markets

Download or read book The Time variation of Risk Ad Return in the Foreign Exchange and Stock Markets written by Alberto Giovannini and published by . This book was released on 1988 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book The Sign Switch Effect of Macroeconomic News in Foreign Exchange Markets

Download or read book The Sign Switch Effect of Macroeconomic News in Foreign Exchange Markets written by Walid Ben Omrane and published by . This book was released on 2015 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine an unusual episode in the behavior of the euro, pound and yen exchange rate markets when the dollar appreciated (depreciated) against the three major currencies, in response to unfavorable (favorable) US growth news during the global financial crisis. Contrary to the previous findings, we show that, for each currency pair, only a small subset (about a third) of the most significant macro news effects reversed sign, primarily announcements regarding consumption, credit, labor and housing markets. Our results reveal that announcement chronology within a month matters, in that specifically the earliest releases within an indicator category exhibit sign asymmetry. We explore possible sources of the switch in the exchange rate reaction during this period and find that fluctuations in market risk and carry trade returns explain most of the variation in the news response coefficient signs.

Book A Century of Arbitrage and Disaster Risk Pricing in the Foreign Exchange Market

Download or read book A Century of Arbitrage and Disaster Risk Pricing in the Foreign Exchange Market written by Giancarlo Corsetti and published by . This book was released on 2020 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: A long-standing puzzle in international finance is that a positive interest rate differen- tial systematically forecasts an exchange rate appreciation-the Uncovered Interest Parity (UIP) puzzle. Hence, a carry trade portfolio long in high yield currency bonds funded by borrowing in low yield currencies can be expected to yield positive profits. Following the Great Financial Crisis, however, the sign of the puzzle has changed-positive differentials forecast excessive depreciation-and carry trade has withered after the large losses suffered by investors in 2007-2008. In this paper, we use a century-long time series for the GBP/USD exchange rate to show that a sign switch is neither new, nor, arguably, a new puzzle. First, it is not new in the data-by virtue of a long sample featuring infrequent, non-overlapping currency crashes, we document that switches systematically occur in crises such as the Great Depression in the 1930s and the exchange rate turmoil of the 1990s. However, UIP devi- ations, sharp in either direction for short- to medium-horizon portfolios, remain small to almost negligible for long-horizon investment portfolios. Second, we argue that our century-long evidence is consistent with models featuring a time-varying probability of disasters or 'Peso events,' specified so to account for the difference in UIP deviations in crisis and nor- mal times, as well as for a decreasing term structure of carry trade returns that on average characterize the data.

Book Strategic Asset Allocation

Download or read book Strategic Asset Allocation written by John Y. Campbell and published by OUP Oxford. This book was released on 2002-01-03 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: Academic finance has had a remarkable impact on many financial services. Yet long-term investors have received curiously little guidance from academic financial economists. Mean-variance analysis, developed almost fifty years ago, has provided a basic paradigm for portfolio choice. This approach usefully emphasizes the ability of diversification to reduce risk, but it ignores several critically important factors. Most notably, the analysis is static; it assumes that investors care only about risks to wealth one period ahead. However, many investors—-both individuals and institutions such as charitable foundations or universities—-seek to finance a stream of consumption over a long lifetime. In addition, mean-variance analysis treats financial wealth in isolation from income. Long-term investors typically receive a stream of income and use it, along with financial wealth, to support their consumption. At the theoretical level, it is well understood that the solution to a long-term portfolio choice problem can be very different from the solution to a short-term problem. Long-term investors care about intertemporal shocks to investment opportunities and labor income as well as shocks to wealth itself, and they may use financial assets to hedge their intertemporal risks. This should be important in practice because there is a great deal of empirical evidence that investment opportunities—-both interest rates and risk premia on bonds and stocks—-vary through time. Yet this insight has had little influence on investment practice because it is hard to solve for optimal portfolios in intertemporal models. This book seeks to develop the intertemporal approach into an empirical paradigm that can compete with the standard mean-variance analysis. The book shows that long-term inflation-indexed bonds are the riskless asset for long-term investors, it explains the conditions under which stocks are safer assets for long-term than for short-term investors, and it shows how labor income influences portfolio choice. These results shed new light on the rules of thumb used by financial planners. The book explains recent advances in both analytical and numerical methods, and shows how they can be used to understand the portfolio choice problems of long-term investors.