time variation of risk and return in foreign exchange markets
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time variation of risk and return in foreign exchange markets a general equilibrium perspective by Bekaert, Geert.

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

Subjects:

  • Rate of return -- Econometric models.,
  • Foreign exchange -- Econometric models.

Book details:

Edition Notes

StatementGeert Bekaert.
SeriesNBER working papers series -- working paper no. 4818, Working paper series (National Bureau of Economic Research) -- working paper no. 4818.
ContributionsNational Bureau of Economic Research.
The Physical Object
Pagination30, [22] p. :
Number of Pages30
ID Numbers
Open LibraryOL22421160M

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Get this from a library! The Time-Variation of Risk and Return in the Foreign Exchange and Stock Markets. [Philippe Jorion; Alberto Giovannini; National Bureau of Economic Research;] -- Recent empirical work indicates that, in a variety of financial markets, both conditional expectations and conditional variances of returns are time- varying. The Time Variation of Risk and Return in the Foreign Exchange and Stock Markets. ALBERTO GIOVANNINI. Search for more papers by this author. PHILIPPE JORION. Giovannini is from Columbia University, CEPR, and NBER. Jorion is from Columbia by:   The Time-Variation of Risk and Return in the Foreign Exchange and Stock Markets. NBER Working Paper No. w The results indicate that estimated conditional variances cannot explain the observed time-variation of risk premia. Philippe, The Time-Variation of Risk and Return in the Foreign Exchange and Stock Markets (May ). NBER Cited by: The Time Variation of Risk and Return in Foreign Exchange Markets: A General Equilibrium Perspective 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.

The Time-Variation of Risk and Return in the Foreign Exchange and Stock Markets. 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. Risk Premium and the Foreign Exchange Market,'. Exchange rate movements reflect changes in relative money supplies, velocities, and output. The time variation in expected returns, on the other hand, reflects time-varying rewards to consumption and inflation risk. Downloadable (with restrictions)! This article successively introduces variable velocity, durability, and habit persistence in a standard two-country general equilibrium model and explores their effects on the variability of exchange rate changes, forward premiums, and the foreign exchange risk premium. A new feature of the model is that agents make decisions at a weekly frequency and face.   The Time Variation of Risk and Return in Foreign Exchange Markets: A General Equilibrium Perspective REVIEW OF FINANCIAL STUDIES, Vol. 9 No. 2 Posted: 14 May

Foreign exchange market participants are increasingly concerned about the quality of their execution. Gone are the days of laid-back forex execution – the compensation of today’s forex managers is increasingly tied to their performance. Indeed, how you execute the orders in today’s markets may make or break investment profitability. Chapter 4 Foreign Exchange Markets and Rates of Return. People trade one national currency for another for one reason: they want to do something with the other currency. What they might do consists of one of two things: either they wish to spend the money, acquiring goods and services, or they wish to invest the money. The Time-Variation of Risk and Return in the Foreign Exchange and Stock Markets Alberto Giovannini, Philippe Jorion. NBER Working Paper No. (Also Reprint No. r) Issued in May NBER Program(s):International Trade and Investment, International Finance and Macroeconomics. The Time Variation of Risk and Return in the Foreign Exchange and Stock Markets ALBERTO GIOVANNINI and PHILIPPE JORION* ABSTRACT This paper attempts to determine whether the fluctuations of conditional first and second moments-which are observed for many assets-are consistent with the Sharpe-Lintner-Mossin capital asset pricing model.