[PDF] Top 20 Volatility Risk Premia and Exchange Rate Predictability

... Permanent repository link: http://openaccess.city.ac.uk/13156/ Link to published version: http://dx.doi.org/10.1016/j.jfineco.2016.02.015 Copyright and reuse: City Research Online aims t[r] ... See full document

... and Risk Premia, the 2013 NBER Summer Institute in Asset Pricing, the 5th Global Alpha Forum in New York, the 2013 Annual Conference on Advances in the Analysis of Hedge Fund Strategies at Imperial College ... See full document

... the exchange rate return component of the V RP strategy at time ...expected volatility premia at time t ...respectively. Exchange rate returns are annualized. Exchange ... See full document

... by volatility) is of major concern because it inhibits private sector ...and exchange rate premia through a market determined nominal exchange rate regime, especially where the ... See full document

... One of the important issues emerging from the recent financial crisis is the alleged negative role played by institutional investors leading up to and during the crisis period. Some researchers preserve that ... See full document

... a volatility forecast from an option pricing model of the Black-Scholes family, which assume that volatility is known and ...its volatility argument. Under the assumption that volatility is ... See full document

... A third possible explanation is that depositors do not consider the credit risk exposure of the bank when making deposits (Agwu, 2018), especially if they have underlying faith in the regulatory framework of the ... See full document

... growth rate of corporate debt for a decade, which was not invested in productive assets, as indicated by the data at ...the risk of financial instability, as corporate balance sheets are now loaded with ... See full document

... the volatility of the Indian stock market to integrate the Indian markets with the international markets and also to provide investors with the more innovative risk management ...on volatility is a ... See full document

... funds rate whose prediction error variance is dominated by the level and slope factor (by nearly ...inflation rate which is not predictable based on yield curve factors, neither over the short run nor the ... See full document

... the exchange rate regime, and hence the currency collapse is predictable by ...fixed exchange rate regime, leading to the collapse of the ... See full document

... between exchange rate volatility and the volume of ...with exchange rate volatility than the expected entry and exit ...of exchange rate volatility on ... See full document

... real exchange rate volatility and explain the underlying ...that exchange rate volatility becomes closer to the data under all alternative ...real exchange rate ... See full document

... Exchange rate pass-through denotes the impact of a unit change in the exchange rate on consumer prices; thus, it is domestic inflation that can be ascribed to an initial variation in the ... See full document

... In general, it is not possible to determine the sign of the exchange rate response. When 0 γ = , (14) implies a full offset of shocks as in equation (11). To explore the impact of the credit constraint more ... See full document

... that exchange rate volatility reflects a variety of global and country-specific factors, such as income growth, inflation, fiscal and current account balances, foreign exchange reserves, ... See full document

... the exchange rate due to the presence of habits in the utility ...out-of-sample predictability in 14 countries by computing tests that compare the forecasting power of the model with a random-walk ... See full document

... (and risk-free) segment of the bond market ...the risk-free rate), the Mark (dollar) tends to ...puzzles: exchange rate ‡uctuations seem to reinforce rather than attenuate positive ... See full document

... robust standard errors of the return of each portfolio on the market return and the default premium. The first column of Table 6 reports the default return betas for a set of representative portfolios, which include the ... See full document

... The exchange rate (price of one currency in relation to another) is an important macroeconomic variable, determining a country’s level of trade, international competitiveness, debt servicing costs, and ... See full document