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1.
EMS exchange rate expectations and time-varying risk premia   总被引:1,自引:0,他引:1  
In this paper we examine exchange risk premia employing a survey dataset of EMS exchange rates. We are able to test a risk premium model directly, i.e. without having to rely on the rational expectations assumption. Our results indicate that time-varying risk premia are present in almost all cases and that a GARCH-in-mean specification for the premium is often appropriate.  相似文献   

2.
This paper studies the relationships between foreign currency debt, macroeconomic volatility, and risk premia in a model of a small open emerging market economy. The external value of the local currency is counter-cyclical, so that foreign currency debt requires larger repayments than local currency debt in bad states of nature. The level of foreign currency-denominated debts, therefore, affects the volatility of aggregate demand and by extension of the exchange rate. Exchange rate volatility is in turn an important determinant of the risk premium on local currency debt. Finally, this risk premium is a major factor in the choice of local versus foreign currency for emerging market borrowers. The mutual endogeneity of foreign currency debt, risk premia, and macroeconomic volatility creates important feedback effects in the economy: small increases in international risk aversion may entail large amplification effects on macroeconomic volatility since domestic borrowers substitute towards cheaper but riskier foreign currency debt finance.  相似文献   

3.
Theories of financial frictions in international capital markets suggest that financial intermediaries' balance sheet constraints amplify fundamental shocks. We present empirical evidence for such theories by decomposing the U.S. dollar risk premium into components associated with macroeconomic fundamentals, and a component associated with financial intermediary balance sheets. Relative to the benchmark model with only macroeconomic state variables, balance sheets amplify the U.S. dollar risk premium. We discuss applications to financial stability monitoring.  相似文献   

4.
This study investigates whether U.S. investors, in pursuing of international diversification, are exposed to foreign exchange risk through the ownership of American depository receipts (ADRs) and if so, whether such risk is systematic. We find that returns of ADRs from countries such as the United Kingdom, Japan, and South Africa are sensitive to their corresponding foreign exchange rate fluctuations. Using a technique developed by Sweeney and Warga (1986), we estimate the risk premium associated with foreign exchange risk. The results suggest that the total foreign exchange risk is priced at equilibrium. However, the incremental foreign exchange risk that is not imbedded in the market returns does not command a risk premium. The evidence indicates that the incremental foreign exchange risk is diversifiable or can be effectively hedged.  相似文献   

5.
This article analyzes the modelling of risk premia in CO2 allowances spot and futures prices, valid for compliance under the EU Emissions Trading Scheme (EU ETS). Similarly to electricity markets, a salient characteristic of CO2 allowances is that the theory of storage does not hold, as CO2 allowances only exist on the balance sheets of companies regulated by the scheme. The main result features positive time-varying risk premia in CO2 spot and futures prices, which are strictly higher for post-2012 contracts (€6–9/ton of CO2) than for Phase II contracts (€0–6/ton of CO2). Contrary to Benth et al.'s (2008) for electricity markets, a positive relationship between risk premia and time-to-maturity is found in the EU ETS. As for relative differences between CO2 futures and spot prices, CO2 futures traded between + 1% (December 2008 contract) and + 33% (December 2014 contract) above spot prices during February 2008–April 2009. Contrary to Bessembinder and Lemmon (2002) for the electricity market, a positive relationship between risk premia and the variance/skewness of CO2 spot prices is found. The futures-spot bias to the EU ETS explains around 1–6% of the variance of CO2 futures premia.  相似文献   

6.
Summary. This study develops a real options approach for analyzing the optimal risk adoption policy in an environment where the adoption means a switch from one stochastic flow representation into another. We establish that increased volatility does not necessarily decelerate investment, as predicted by the standard literature on real options, once the underlying volatility of the state variable is made endogenous. We prove that for a decision maker with a convex (concave) objective function, increased post-adoption volatility increases (decreases) the expected cumulative present value of the post-adoption profit flow, which consequently decreases (increases) the option value of waiting and, therefore, accelerates (decelerates) current investment.Received: 12 October 2001, Revised: 4 December 2002, JEL Classification Numbers: O32, G30, D92, C61. Correspondence to: Luis H.R. AlvarezConstructive comments from an anonymous referee are acknowledged. The financial support from the Foundation for the Promotion of the Actuarial Profession (Aktuaaritoiminnan Kehittämissäätiö) to Luis H. R. Alvarez is gratefully acknowledged. Both authors are grateful for the financial support from The Yrjö Jahnsson Foundation.  相似文献   

7.
In the present study we show that, based on equally weighted portfolios of continuously listed Finnish and Swedish stocks, aDynamic Model of Capital Asset Pricing (DCAPM) outperforms the static Capital Asset Pricing Model (CAPM) in the Super Criterion Test. It is demonstrated that the portfolio efficiency of the dynamic model is improved, when using a properly defined transition matrix in the Kalman Filtering Algorithm.The advice and encouragement of Professor Leif Nordberg (Department of Statistics, Åbo Akademi University) is gratefully acknowledged. I thank Jaana Aaltonen for her assistance in monitoring the computer programs. I also thank an anonymous referee for his valuable comments and suggestions for improving the quality of the paper.  相似文献   

8.
Georges Prat 《Applied economics》2015,47(34-35):3673-3695
Using Consensus Economics survey data on JPY/USD and GBP/USD exchange rate expectations for the 3- and 12-month horizons over the period November 1989–December 2012, we first show that expectations fail the conventional tests of unbiasedness and do not exhibit a learning process towards rationality. Our approach is consistent with the economically rational expectations theory (Feige and Pearce, 1976), which states that information costs and agents’ aversion to misestimating future exchange rates determine the optimal amounts of information on which they base their expectations. The time variability of the cost/aversion ratios justifies at the aggregate level a representation of expectations as a linear combination of the traditional extrapolative, adaptive and regressive processes augmented by a forward market component, whose parameters are allowed to change over time. This mixed expectation model with unstable heterogeneity is validated by our Kalman filter estimation results for the two currencies and the two horizons considered. Although the relative importance of the ‘fundamentalists’ (‘chartists’) is found to increase (decrease) with the time-horizon, chartist behaviour appears to dominate fundamentalist behaviour for both horizons. Central bank intervention is then effective in stabilizing the foreign exchange markets if it encourages fundamentalist activity.  相似文献   

9.
This paper proposes an alternative way of testing FOREX efficiency for developing countries. The FOREX market will be efficient if fully reflects all available information. If this holds, the actual exchange rate will not deviate significantly from its equilibrium rate. Moreover, the spot rate should deviate from its equilibrium rate by only transitory components (i.e. it should follow a white noise process). This test is applied to three Central and Eastern European Countries — members of the EU. Considering an LSTAR model we find no evidence of nonlinear adjustment in the misalignment series. So, linear unit root tests imply that the Poland/Euro FOREX market is efficient, the Czech/Euro FOREX market is not, while the Slovak/Euro FOREX market is quasi-efficient.  相似文献   

10.
This paper examines a three-period model of an investment decision in a network industry characterized by demand uncertainty, economies of scale and sunk costs. In the absence of regulation we identify the market conditions under which a monopolist decides to invest early as well as the overall welfare generated by this decision. In a regulated environment, we consider a vertically integrated network provider that is required to provide access to downstream competitors and compare two distinct access pricing methodologies: the Efficient Component Pricing Rule (ECPR) and the Option to Delay Pricing Rule (ODPR). We identify the welfare-maximizing access prices using the unregulated market output as a benchmark and show that optimal access regulation depends on market conditions (that is, the nature of demand) with two possible outcomes: (i) access prices that provide a positive payoff to the incumbent, that is, provide a positive compensation to account for the option to delay; and (ii) access prices that yield a zero payoff to the incumbent. Moreover, unlike the earlier literature that argues in favor of an ECPR-type methodology to account for the interaction between irreversibility and demand uncertainty, we find that, except under very specific conditions, an access price that accounts for the option to delay value is welfare-superior to the ECPR.   相似文献   

11.
In many differentiated product industries, both traditional and “new economy” activities, vertically integrated firms also supply inputs to apparent rivals in the downstream business. This generates heterogeneity between low- and high-sunk cost suppliers with implications for entry and competitive conduct. The web hosting market is typical with primary suppliers operating alongside resellers who rent server space from them. We explore the impact of competition in US hosting using a unique dataset covering 15,000 packages offered by 3,500 firms. The results suggest price is sensitive to competitor clustering in quality space; an outcome consistent with easy entry for resellers with ultra-low fixed costs.
Steve ThompsonEmail:
  相似文献   

12.
Given a competitive equilibrium in complete asset markets, we propose a method that aggregates heterogeneous individual beliefs into a single “market probability,” which, if commonly shared by investors, generates the same marginal valuation of assets by the market as well as by each individual investor. As a result of the aggregation process, the market portfolio may have to be scalarly adjusted, upward or downward, a reflection of an aggregation bias due to the diversity of beliefs. From a dual viewpoint, the standard construction of an expected utility-maximizing aggregate investor designed to represent the economy in equilibrium, is shown to be also valid in the case of heterogeneous beliefs, modulo the above scalar adjustment of the market portfolio, thereby generating an Adjusted version of the Consumption based Capital Asset Pricing Model (ACCAPM). We analyze how the allocation of aggregate and individual risks relates to deviations of individual beliefs from the aggregate market probability. Finally, we identify the channels through which the distribution of beliefs and other microeconomic characteristics (incomes, attitudes toward risk) across investors impact the pricing of risky assets an may contribute to explaining the equity premium puzzle.  相似文献   

13.
Investigating linkages between credit and equity markets, we consider daily aggregate U.S. CDS spreads as well as well-chosen equity market and implied volatility indexes over ten years. We describe such robust (to spurious correlation) relationship with the quantile cointegrating regression approach. Such approach handles extreme quantiles/CDS values and their behavior with respect to the equity market's influence. Heteroskedastic patterns such as time-varying variance, but also autocorrelation, skewness and leptokurtosis are captured. Thus, the sensitivity of aggregate CDS spreads to equity market price and volatility channels is accurately measured across quantiles and spreads. Such quantile-dependent sensitivity exhibits asymmetric responses to equity market shocks. A sub-period analysis investigates potential regime shifts in estimated quantile cointegrating regressions. Quantile cointegrating coefficients vary over time and quantiles, and exhibit different magnitudes across sub-periods and spreads. Therefore, the relationship is unstable over time. We also propose a scenario analysis and risk signaling application for credit risk management prospects. Under specific risk levels, credit risky situations are described conditional on the equity market's information over time, and related expected aggregate CDS spreads are computed. Estimated conditional quantiles/CDS spreads act as credit alert triggers.  相似文献   

14.
ABSTRACT

This paper empirically investigates volatility transmission among stock and foreign exchange markets in seven major world economies during the period July 1988 to May 2018. To this end, we first perform a static and dynamic analysis to measure the total volatility connectedness in the entire period (the system-wide approach). Second, we make use of a dynamic analysis to evaluate the net directional connectedness for each market. To gain further insights, we examine the time-varying behaviour of net pair-wise directional connectedness during the financial turmoil periods experienced in the sample period Our results suggest that slightly more than half of the total variance of the forecast errors is explained by shocks across markets rather than by idiosyncratic shocks. Furthermore, we find that volatility connectedness varies over time, with a surge during periods of increasing economic and financial instability.  相似文献   

15.
16.
This paper investigates the link between governance and foreign direct investment in the case of 14 transition countries by using a panel gravity model approach in two alternative ways. First, the level of governance in the target country is studied. Second, the absolute difference in the governance level between the source and target country is investigated. In both cases the results suggest that the lack of good governance does not deter, in fact it encourages, foreign direct investment.  相似文献   

17.
Scientists have argued that invasive species can be managed most cost effectively with greater investments in prevention. Further, under ideas like the precautionary principle it is reasonable to expect that a cautious manager would use more prevention relative to control because it keeps more invaders out. Yet, this is not typically done. In many cases, private and public resources are invested primarily to control existing invaders rather than to prevent new invasions. Managers frequently wait until after invaders have arrived and then scramble to limit the damages. We believe these paradoxical decisions can be understood by recognizing the link between typical human preferences for risk bearing and the technology of risk reduction. We demonstrate quantitatively how managers perceived to be cautious or averse to risk tend to shy away from prevention relative to control. This counterintuitive result arises because control is a safer choice than prevention because its productivity is relatively less risky: it works to remove existing invaders from the system. In contrast, the productivity of prevention is more uncertain because prevention only reduces the chance of invasion, it does not eliminate it, and invasion may not occur even in the absence of prevention. Managers' averse to risk will inherently avoid as much uncertainty as possible, whether the source of uncertainty regards ecological outcomes or economic productivity. Implications for environmental decision making are clear. In invasive species management, if managers act as though they are risk averse, their caution can backfire when it leads to more control rather than prevention. The social consequences of this choice are a greater probability of future invasions and lower social welfare. Our results suggest that social welfare is highest when managers were willing to “take a risk” with prevention.  相似文献   

18.
By using nonparametric methods, this paper estimates the distribution of both household and size-adjusted real income in Italy between 1987–1998. Because of data sparseness in the distribution, an adaptive bandwidth is used, while to account for sample design a weighting variable is incorporated in the estimation procedure. The time invariance and the presence of modes in the distributions are tested by means of a nonparametric test and a bootstrap test, respectively. The empirical results suggest that the Italian income distribution significantly changed over time. During the eighties the density shifted rightwards, positively affecting the well being of a large fraction of Italian households. The 1993 recession altered the shape of income distribution increasing inequality and polarisation, and the following period of slow recovery did not show significant changes in the shape of distribution in terms of relative income with a consequent permanence of inequality. The polarisation of the distribution is more noticeable for size-adjusted income rather than whole household income, reflecting the influence of family size on income shape.Jel classification: C14, D31, I30The authors gratefully acknowledge financial support from the Italian Ministry of the Universities and Scientific Research (MIUR). We would like to thank two anonymous referees, Nicholas Longford, Aman Ullah and participants of the International workshop on Income Distribution and Welfare, Milan, May 2002 for their useful comments and suggestions. Obviously we are the solely responsible of any further error and omission.First version received: January 2002/Final version received: January 2003  相似文献   

19.
Duration is widely used by fixed income managers to proxy the interest rate risk of their assets and liabilities. However, it is well known that the convexity of the price-yield relationship introduces approximation errors that grow with changes in yield. In this article we suggest a new approach, ‘discrete duration’, which significantly improves upon the accuracy of traditional duration methods and achieves a level of accuracy close to the more complex ‘duration-plus-convexity’ measure. In particular, discrete duration performs particularly well for long dated and low coupon rate bonds where the estimation error is impressively close to zero.  相似文献   

20.
A balance-of-payments structural model of the foreign exchange market of Canada, endogenizing capital flows, the spot and forward exchange rates and the entities of the monetary sector, is developed using quarterly data for 1971–81. The capital flows have been disaggregated into ten categories and the exchange rates of the Canadian dollar have been analysed against five major currencies. While the model does not adhere strictly to purchasing power or interest rate parity, it does recognize them and it also incorporates other economic fundamentals, expectations and risk. Government interventions, although generated endogenously, are quantified implicitly and globally. The model tracks the post-Bretton Woods in-sample experience and generates ex post predictions reasonably well.  相似文献   

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