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
摘要: Risk-off refers to a change in risk preferences and the associated portfolio rebalancing. We identify these episodes using the switch to a polarized correlation关键词:Risk-Off Correlation Currency Risk Premia DOI: 10.2139/ssrn.2508651 被引量: 2 ...
Therefore it’s a timely topic to investigate the risk embedded in such transactions and to what extent the carry trade returns explain the tail risk. Initially, this research estimates the tail index of all the currencies and formulates a unique inverse function for all the currencies in ...
Countercyclical currency risk premia 2014, Journal of Financial Economics Show abstract Mind the gap: Disentangling credit and liquidity in risk spreads 2019, Review of Finance State and Network Structures of Stock Markets Around the Global Financial Crisis 2018, Computational Economics Over the cliff: ...
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...
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...
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...
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...