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2 edition of On biases in the measurement of foreign exchange risk premiums found in the catalog.

On biases in the measurement of foreign exchange risk premiums

Bekaert, Geert.

On biases in the measurement of foreign exchange risk premiums

by Bekaert, Geert.

  • 280 Want to read
  • 8 Currently reading

Published by National Bureau of Economic Research in Cambridge, MA .
Written in English

    Subjects:
  • Foreign exchange futures -- Econometric models.,
  • Risk -- Econometric models.,
  • Devaluation of currency -- Econometric models.

  • Edition Notes

    StatementGeert Bekaert, Robert J. Hodrick.
    SeriesNBER working papers series -- working paper no. 3861, Working paper series (National Bureau of Economic Research) -- working paper no. 3861.
    ContributionsHodrick, Robert J., National Bureau of Economic Research.
    The Physical Object
    Pagination30, [7] p. :
    Number of Pages30
    ID Numbers
    Open LibraryOL22438585M

      DM Dollar Exchange Rate Description. weekly observations from to number of observations: observation: country country: Germany Usage data(DM) Format. A dataframe containing: date. the date of the observation ( is January, 4, ) s. the ask price of the dollar in units of DM in the spot market on friday of the current The switching of regimes is modulated by a Markov chain in discrete time. A description of the foreign exchange market and of its stylised features is given. Finally, unbiased forward exchange rate hypothesis (UFER) is tested in the context of the US-dollar/UK-pound spot and forward exchange ://

      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. We examine the robustness of these tests to time variation in parameters and to the presence of ://   Yen-dollar Exchange Rate Description. weekly observations from to number of observations: observation: country country: Japan Usage data(Yen) Format. A dataframe containing: date. the date of the observation ( is January, 4, ) s. the ask price of the dollar in units of Yen in the spot market on friday of the current

    On biases in the measurement of foreign exchange risk premiums. G Bekaert, RJ Hodrick. Journal of International Money and finance 12 (2), , The covariation of risk premiums and expected future spot exchange rates. RJ Hodrick, S ?user=JthnPXkAAAAJ&hl=en.   A risk premium is the return in excess of the risk-free rate of return an investment is expected to yield; an asset's risk premium is a form of compensation for investors who tolerate the extra


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On biases in the measurement of foreign exchange risk premiums by Bekaert, Geert. Download PDF EPUB FB2

II8 Foreign exchange risk premiums a dollar in the foreign currency money market and selling this foreign currency return in the forward market must equal the risk-free return on the dollar. Equality of these two returns provides an expression for interest rate parity: (5) i, = i,* + f, - s.

On Biases in the Measurement of Foreign Exchange Risk Premiums Geert Bekaert, Robert J. Hodrick. NBER Working Paper No. Issued in October NBER Program(s):International Trade and Investment, Asset Pricing, International Finance and Macroeconomics   Journal of International Money and Finance (), 12, On biases in the measurement of foreign exchange risk premiums GEERT BEKAERT* Graduate School of Business, Stanford University, Stanford, CA, USA AND ROBERT,I.

HODRICK Department of Finance, Kellogg Graduate School of Management, Northwestern University, Evanston, IL, and the National Bureau of   Bekaert, Geert and Hodrick, Robert J., On Biases in the Measurement of Foreign Exchange Risk Premiums (October ).

NBER Working Paper No. w?abstract_id= "Equity risk premia and the pricing of foreign exchange risk," Journal of International Economics, Elsevier, vol. 33(), pagesNovember. Hamilton, James D., " Analysis of time series subject to changes in regime," Journal of Econometrics, Elsevier, vol.

45(), pages On biases in the measurement of foreign exchange risk premiums. Cambridge, MA: National Bureau of Economic Research, [] (OCoLC) Material Type: Internet resource: Document Type: Book, Internet Resource: All Authors / Contributors: Geert Bekaert; Robert J Hodrick; National Bureau of Economic ://   Faculty & Research › Working Papers › On Biases in the Measurement of Foreign Exchange Risk Premiums.

On Biases in the Measurement of Foreign Exchange Risk Premiums. On Biases in the Measurement of Foreign Exchange Risk Premiums. By Geert Bekaert. Working Paper No. /biases-measurement-foreign-exchange-risk-premiums. Get this from a library.

On Biases in the Measurement of Foreign Exchange Risk Premiums. [Robert J Hodrick; Geert Bekaert; National Bureau of Economic Research.;] -- The hypothesis that the forward rate is an unbiased predictor of the future spot rate has been consistently rejected in recent empirical studies.

This paper examines several sources of measurement   "On Biases in the Measurement of Foreign Exchange Risk Premiums." Journal of International Money and Fina no.

2 (): Each author name for a Columbia Business School faculty member is linked to a faculty research page, which lists additional publications by that faculty ://   On biases in the measurement of foreign exchange risk premiums.

Geert Bekaert and Robert Hodrick () Journal of International Money and Finance,vol. 12, issue 2, Date: References: Add references at CitEc Citations: View citations in EconPapers () Track citations by RSS feed.

Downloads: (external link):eee:jimfin:vyip Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums. LORIANO MANCINI. Search for more papers by this author High Frequency Econometrics and Limit Order Book Dynamics, the CEPR/Study Center Gerzensee European Summer Symposium in Financial Markets, and the Eighth Swiss Doctoral Workshop in Finance for Download PDF: Sorry, we are unable to provide the full text but you may find it at the following location(s): (external link)   Data from the Bekaert-Hodrick paper "On biases in the measurement of foreign exchange risk premiums", J.

International Money and Finance, 12,Daily foreign exchange quotations, days, 11 On biases in the measurement of foreign exchange risk premiums. Journal of International Money and Finance, – Bekaert, G. & Hodrick, R. Ya-Ting Chang, Yin-Feng Gau, Chih-Chiang Hsu, Liquidity Commonality in Foreign Exchange Markets During the Global Financial Crisis and the Sovereign Debt Crisis: Effects of Macroeconomic and Quantitative Easing Announcements, The North American Journal of Economics and Finance, /, 42, (), ().

Professor Hodrick teaches both fundamental and advanced courses in international finance. His expertise is in the valuation of financial assets. His current research explores the empirical implications of theoretical pricing models that generate time-varying risk premiums in the markets for bonds, equities and foreign currencies.

He is also a research associate of the National Downloadable (with restrictions). 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 ://   "On Biases in the Measurement of Foreign Exchange Risk Premiums," with Robert J.

Hodrick, Journal of International Money and Fina AprilAlso published as New Evidence on the Forward Premium Puzzle - Volume 51 Issue 3 - Jacob Boudoukh, Matthew Richardson, Robert F.

Whitelaw   BEKAERT, GEERT AND ROBERT J. HODRICK, `On biases in the measurement of foreign exchange risk premiums,' Journal International Money and Finance, AprilCORNELL, BRADFORD, `The impact of data errors on measurement of the forward exchange risk premium,' Journal of International Money and Finance, March8:.

Forward exchange rate unbiassedness is rejected in test for international exchange markets. Such issue can be interpreted as evidence of a biased forward rate and/or time-varying risk premia.

This paper proposes a stochastic general equilibrium model which generates substantial variability in the magnitude of predictable excess ://  Bekaert, Geert and Robert J. Hodrick,"On Biases in the Measurement of Foreign Exchange Risk Premiums," Journal of International Money and Fina pp.

Bekaert, Geert and Robert J. Hodrick,“Expectations Hypotheses Tests,” Journal of Fina pp. ~dbackus//Hodrick_syllabus_pdf.Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums Abstract Using a novel and comprehensive dataset, we provide the rst systematic study of liquidity in the foreign exchange (FX) market.

Contrary to common perceptions, we nd signi cant variation in liquidity across exchange rates, substantial costs ?doi=&rep=rep1&type=pdf.