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Determinants of the Foreign Exchange Risk Premium in Gulf Cooperation Council Countries

Determinants of the Foreign Exchange Risk Premium in Gulf Cooperation Council Countries »

Source: Determinants of the Foreign Exchange Risk Premium in Gulf Cooperation Council Countries

Volume/Issue: 2010/255

Series: IMF Working Papers

Author(s): Tigran Poghosyan

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2010

ISBN: 9781455209552

Keywords: time-varying risk premium, multivariate GARCH-in- Mean, GCC, risk premium, exchange risk, exchange rate, Multivariate Garch-in-mean,

This paper analyzes macroeconomic determinants of the foreign exchange risk premium in two Gulf Cooperation Council (GCC) countries that peg their currencies to the U.S. dollar: Saudi Arabia and the United Arab Emi...

Uncovered Interest Parity1

Uncovered Interest Parity1 »

Source: Uncovered Interest Parity

Volume/Issue: 2006/96

Series: IMF Working Papers

Author(s): Peter Isard

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2006

ISBN: 9781451863567

Keywords: unbiasedness hypothesis, exchange risk premium, exchange rate, foreign exchange, exchange rate expectations, spot exchange rate, Open Economy Macroeconomics,

This paper provides an overview of the uncovered interest parity assumption. It traces the history of the interest parity concept, summarizes evidence on the empirical validity of uncovered interest parity, and dis...

The Cost of Foreign Exchange Intervention

The Cost of Foreign Exchange Intervention »

Source: The Cost of Foreign Exchange Intervention : Concepts and Measurement

Volume/Issue: 2016/89

Series: IMF Working Papers

Author(s): Gustavo Adler , and Rui Mano

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 08 April 2016

ISBN: 9781484323076

Keywords: central bank balance sheet, international reserves, foreign exchange intervention, currency risk premium

The accumulation of large foreign asset positions by many central banks through sustained foreign exchange (FX) intervention has raised questions about its associated fiscal costs. This paper clarifies conceptual i...

Determinants of the Foreign Exchange Risk Premium in Gulf Cooperation Council Countries

Determinants of the Foreign Exchange Risk Premium in Gulf Cooperation Council Countries »

Volume/Issue: 2010/255

Series: IMF Working Papers

Author(s): Tigran Poghosyan

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2010

DOI: http://dx.doi.org/10.5089/9781455209552.001

ISBN: 9781455209552

Keywords: time-varying risk premium, multivariate GARCH-in- Mean, GCC, risk premium, exchange risk, exchange rate, Multivariate Garch-in-mean,

This paper analyzes macroeconomic determinants of the foreign exchange risk premium in two Gulf Cooperation Council (GCC) countries that peg their currencies to the U.S. dollar: Saudi Arabia and the United Arab Emi...

Uncovered Interest Parity

Uncovered Interest Parity »

Volume/Issue: 2006/96

Series: IMF Working Papers

Author(s): Peter Isard

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2006

DOI: http://dx.doi.org/10.5089/9781451863567.001

ISBN: 9781451863567

Keywords: unbiasedness hypothesis, exchange risk premium, exchange rate, foreign exchange, exchange rate expectations, spot exchange rate, Open Economy Macroeconomics,

This paper provides an overview of the uncovered interest parity assumption. It traces the history of the interest parity concept, summarizes evidence on the empirical validity of uncovered interest parity, and dis...

The Cost of Foreign Exchange Intervention
			: Concepts and Measurement

The Cost of Foreign Exchange Intervention : Concepts and Measurement »

Volume/Issue: 2016/89

Series: IMF Working Papers

Author(s): Gustavo Adler , and Rui Mano

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 08 April 2016

DOI: http://dx.doi.org/10.5089/9781484323076.001

ISBN: 9781484323076

Keywords: central bank balance sheet, international reserves, foreign exchange intervention, currency risk premium

The accumulation of large foreign asset positions by many central banks through sustained foreign exchange (FX) intervention has raised questions about its associated fiscal costs. This paper clarifies conceptual i...