Low debt and inflation, and higher growth reduce default risk. FX reserves do not matter for risk whenever CDS spreads are below the median. But higher FX buffers clearly reduce risk at the higher end of the sovereign risk spectrum.doi:10.1016/j.econlet.2020.109567E. Kohlscheen...
aThis paper investigates the joint response of stock and foreign exchange (FX) market returns to macroeconomic surprises, employing a system method of estimation that allows for the cross-country and cross-market interaction for asset returns and risk premia. 本文調查儲蓄和外匯(FX)市場回歸聯合反應...
It is believed that when future policy is uncertain and economy is weak it leads to higher degree of political uncertainty (i.e. spikes in EPU index), and also adversely affecting on financial assets. Moreover, it commands the equity risk premium. The findings are consistent with these ...
Double-sorting 34 currencies into different portfolios based on the level of macro risk and political risk, we provide evidence that local determinants of sovereign risk are priced in the FX markets, i.e. they can forecast currency carry trade excess returns in the cross-section. Local political...
And, if strong data lead to higher 7 4 c inflation risk premia but limited policy action, that tends to have a less powerful impact a 0 c c on the USD. By the same token, the main downside risk to the Dollar comes from the 9 2 1 prospect of earlier non-recessionary rate cuts...
This Deutsche Bank research report focuses on long-only multifactor investing, which aims to capture factor premia systematically while minimizing volatility and drawdowns. The report outlines the constraints for a long-only equity investor, including a minimum portfolio size of 200 stocks, a tracking...
emerging marketsfiscal policysovereign riskinternational reserves.Sovereign risk premia have declined for the majority of emerging market economies. This paper analyzes the key drivers of risk premia, as proxied by the 5-yearSocial Science Electronic Publishing...
CorrelationCurrency Risk PremiaRisk-off refers to a change in risk preferences and the associated portfolio rebalancing. We identify these episodes using the switch to a polarized correlationdoi:10.2139/ssrn.2508651Beber, AlessandroBrandt, Michael
Intraday price reversals for index futures in the US and Hong Kong J. Bank. Finance (2000) M.C. Jensen Some anomalous evidence regarding market efficiency J. Financial Econ. (1978) B.C. Kho Time-varying risk premia, volatility, and technical trading rule profits: evidence from foreign curren...