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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...

U.S. Dollar Dynamics

U.S. Dollar Dynamics »

Source: U.S. Dollar Dynamics : How Important Are Policy Divergence and FX Risk Premiums?

Volume/Issue: 2016/125

Series: IMF Working Papers

Author(s): Ravi Balakrishnan , Stefan Laseen , and Andrea Pescatori

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 05 July 2016

ISBN: 9781498348416

Keywords: Foreign exchange, monetary policy shocks, FX risk premium, SVAR

We investigate the drivers of dynamics of major U.S. FX bilaterals. We first construct a novel measure of FX risk premiums using Consensus exchange rate forecasts. We then use VAR analysis to show that (i) risk pre...

Self-Fulfilling Risk Predictions

Self-Fulfilling Risk Predictions »

Source: Self-Fulfilling Risk Predictions : An Application to Speculative Attacks

Volume/Issue: 1998/124

Series: IMF Working Papers

Author(s): Robert Flood , and Nancy Marion

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 1998

ISBN: 9781451854695

Keywords: Currency crisis, devaluation, risk premium, exchange rate, fixed exchange rate, bond, international reserves, shadow exchange rate

The paper shows that changing market beliefs about currency risk can generate a self-fulfilling speculative attack on a fixed exchange rate. The attack does not require a later change in policies to make it profita...

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...

The U.S. Dollar and the Trade Deficit

The U.S. Dollar and the Trade Deficit »

Source: The U.S. Dollar and the Trade Deficit : What Accounts for the Late 1990's?

Volume/Issue: 2003/194

Series: IMF Working Papers

Author(s): Benjamin Hunt , and Alessandro Rebucci

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2003

ISBN: 9781451859881

Keywords: Balassa-Samuelson Effect, Learning, Productivity Shocks, Real Exchange Rate, Risk Premium Shocks, Trade Balance, U.S. Economy, exchange rate, intermediate goods, elasticity of substitution

Based on a version of the IMF’s new Global Economic Model (GEM), calibrated to analyze macroeconomic interdependence between the United States and the rest of the world, this paper asks to what extent an asy...

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...

U.S. Dollar Dynamics
			: How Important Are Policy Divergence and FX Risk Premiums?

U.S. Dollar Dynamics : How Important Are Policy Divergence and FX Risk Premiums? »

Volume/Issue: 2016/125

Series: IMF Working Papers

Author(s): Ravi Balakrishnan , Stefan Laseen , and Andrea Pescatori

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 05 July 2016

DOI: http://dx.doi.org/10.5089/9781498348416.001

ISBN: 9781498348416

Keywords: Foreign exchange, monetary policy shocks, FX risk premium, SVAR

We investigate the drivers of dynamics of major U.S. FX bilaterals. We first construct a novel measure of FX risk premiums using Consensus exchange rate forecasts. We then use VAR analysis to show that (i) risk pre...

Self-Fulfilling Risk Predictions
			: An Application to Speculative Attacks

Self-Fulfilling Risk Predictions : An Application to Speculative Attacks »

Volume/Issue: 1998/124

Series: IMF Working Papers

Author(s): Robert Flood , and Nancy Marion

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 1998

DOI: http://dx.doi.org/10.5089/9781451854695.001

ISBN: 9781451854695

Keywords: Currency crisis, devaluation, risk premium, exchange rate, fixed exchange rate, bond, international reserves, shadow exchange rate

The paper shows that changing market beliefs about currency risk can generate a self-fulfilling speculative attack on a fixed exchange rate. The attack does not require a later change in policies to make it profita...

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...