Currency Risk Premiums
A Multi-Horizon Perspective
Seiten
2023
now publishers Inc (Verlag)
978-1-63828-310-2 (ISBN)
now publishers Inc (Verlag)
978-1-63828-310-2 (ISBN)
Reviews the literature on multi-horizon currency risk premiums. It shows how the multi-horizon implications arise from the classic present-value relationship and how these implications manifest themselves in the interaction between bond and currency risk premiums, presenting a wealth of new evidence and challenges for existing models.
Currency Risk Premiums: A Multi-Horizon Perspective reviews the literature on multi-horizon currency risk premiums. It shows how the multi-horizon implications arise from the classic present-value relationship. The authors further show how these implications manifest themselves in the interaction between bond and currency risk premiums. This link is strengthened by explicitly accounting for stochastic discount factors. Information about currency risk premiums at different horizons presents a wealth of new evidence and challenges for existing models.
Currency Risk Premiums: A Multi-Horizon Perspective reviews the literature on multi-horizon currency risk premiums. It shows how the multi-horizon implications arise from the classic present-value relationship. The authors further show how these implications manifest themselves in the interaction between bond and currency risk premiums. This link is strengthened by explicitly accounting for stochastic discount factors. Information about currency risk premiums at different horizons presents a wealth of new evidence and challenges for existing models.
1. Introduction
2. Connection Between Exchange Rates and Bonds via the Present-value Approach
3. Connection Between Exchange Rates and Bonds via SDFs
4. AMV and the Evidence
5. Implications for Multi-horizon Currency Risk Premiums
6. Monetary Policy
7. Emerging Economies
8. Conclusion
Acknowledgments
Appendices
References
| Erscheinungsdatum | 05.12.2023 |
|---|---|
| Reihe/Serie | Foundations and Trends® in Finance |
| Verlagsort | Hanover |
| Sprache | englisch |
| Maße | 156 x 234 mm |
| Gewicht | 121 g |
| Themenwelt | Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung |
| ISBN-10 | 1-63828-310-9 / 1638283109 |
| ISBN-13 | 978-1-63828-310-2 / 9781638283102 |
| Zustand | Neuware |
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