International Capital Markets and Foreign Exchange Risk

Relations between foreign exchange risk premia, exchange rate volatility, and the volatilities of the pricing kernels for the underlying currencies, are derived under the assumption of integrated capital markets. As predicted, the volatility of exchange rates is significantly associated with the est...

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Veröffentlicht in:	The Review of financial studies 2006-10, Vol.19 (3), p.753-795
Hauptverfasser:	Brennan, Michael J., Xia, Yihong
Format:	Artikel
Sprache:	eng
Schlagworte:	Arbitrage Bond markets Capital markets Cross-national analysis Currencies Currency Empirical tests Estimates Exchange rates Financial risks Foreign exchange Foreign exchange markets Foreign exchange rate risk Foreign exchange rates Interest rates International capital market International finance Price premiums Price volatility Pricing Risk management Risk premium Risk premiums Securities markets Volatility
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