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Co-Movements in Long-Term Interest Rates and the Role of PPP-Based Exchange Rate Expectations

Co-Movements in Long-Term Interest Rates and the Role of PPP-Based Exchange Rate Expectations »

Source: Co-Movements in Long-Term Interest Rates and the Role of PPP-Based Exchange Rate Expectations

Volume/Issue: 1999/81

Series: IMF Working Papers

Author(s): Klaas Knot , and Jan Berk

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 1999

ISBN: 9781451850345

Keywords: interest parity relations, exchange rate expectations, exchange rate, bond, bond yields, exchange rates

This paper investigates international co-movement in bond yields by testing for uncovered interest parity (UIP). Existing work is supplemented by focusing on long instead of short-term interest rates and by employi...

Currency Risk Premia in Global Stock Markets

Currency Risk Premia in Global Stock Markets »

Source: Currency Risk Premia in Global Stock Markets

Volume/Issue: 2006/194

Series: IMF Working Papers

Author(s): Matthew Merritt , and Shaun Roache

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2006

ISBN: 9781451864540

Keywords: Arbitrage pricing theory, risk prices, asset pricing, exchange rate, currency risk, exchange risk, foreign exchange risk, International Finance Forecasting and Simulation,

Large fundamental imbalances persist in the global economy, with potential exchange rate implications. This paper assesses whether exchange rate risk is priced across G-7 stock markets. Given the multitude of hedgi...

Exchange Rate Movements and International Interdependence of Stock Markets

Exchange Rate Movements and International Interdependence of Stock Markets »

Source: Exchange Rate Movements and International Interdependence of Stock Markets

Volume/Issue: 1989/44

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 12 May 1989

ISBN: 9781451974492

Keywords: stock prices, exchange rate, exchange rates, nominal exchange rate, real exchange rates

This paper investigates linkages between stock markets in seven industrialized countries since 1974. Empirical evidence shows that both nominal and real stock prices (and returns) are strongly positively correlated...

Exchange Rates and Capital Flows1

Exchange Rates and Capital Flows1 »

Source: Exchange Rates and Capital Flows

Volume/Issue: 2001/190

Series: IMF Working Papers

Author(s): Robin Brooks , Torsten Sloek , Manmohan Kumar , and Hali Edison

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2001

ISBN: 9781451859669

Keywords: exchange rate models, euro/dollar and yen/dollar exchange rates, exchange rate, exchange rates, bonds, bond, exchange rate movements,

This paper explores the ability of portfolio and foreign direct investment flows to track movements in the euro and the yen against the dollar. Net portfolio flows from the euro area into U.S. stocks—possibl...

Foreign Exchange Hedging with Synthetic Options and the Interest Rate Defense of a Fixed Exchange Rate Regime

Foreign Exchange Hedging with Synthetic Options and the Interest Rate Defense of a Fixed Exchange Rate Regime »

Source: Foreign Exchange Hedging with Synthetic Options and the Interest Rate Defense of a Fixed Exchange Rate Regime

Volume/Issue: 1994/151

Series: IMF Working Papers

Author(s): Peter Garber , and Michael Spencer

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 1994

ISBN: 9781451857009

Keywords: exchange rate, hedging, hedge, foreign exchange, fixed exchange rate

The IMF Working Papers series is designed to make IMF staff research available to a wide audience. Almost 300 Working Papers are released each year, covering a wide range of theoretical and analytical topics, inclu...

Co-Movements in Long-Term Interest Rates and the Role of PPP-Based Exchange Rate Expectations

Co-Movements in Long-Term Interest Rates and the Role of PPP-Based Exchange Rate Expectations »

Volume/Issue: 1999/81

Series: IMF Working Papers

Author(s): Klaas Knot , and Jan Berk

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 1999

DOI: http://dx.doi.org/10.5089/9781451850345.001

ISBN: 9781451850345

Keywords: interest parity relations, exchange rate expectations, exchange rate, bond, bond yields, exchange rates

This paper investigates international co-movement in bond yields by testing for uncovered interest parity (UIP). Existing work is supplemented by focusing on long instead of short-term interest rates and by employi...

Currency Risk Premia in Global Stock Markets

Currency Risk Premia in Global Stock Markets »

Volume/Issue: 2006/194

Series: IMF Working Papers

Author(s): Matthew Merritt , and Shaun Roache

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2006

DOI: http://dx.doi.org/10.5089/9781451864540.001

ISBN: 9781451864540

Keywords: Arbitrage pricing theory, risk prices, asset pricing, exchange rate, currency risk, exchange risk, foreign exchange risk, International Finance Forecasting and Simulation,

Large fundamental imbalances persist in the global economy, with potential exchange rate implications. This paper assesses whether exchange rate risk is priced across G-7 stock markets. Given the multitude of hedgi...

Exchange Rate Movements and International Interdependence of Stock Markets

Exchange Rate Movements and International Interdependence of Stock Markets »

Volume/Issue: 1989/44

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 12 May 1989

DOI: http://dx.doi.org/10.5089/9781451974492.001

ISBN: 9781451974492

Keywords: stock prices, exchange rate, exchange rates, nominal exchange rate, real exchange rates

This paper investigates linkages between stock markets in seven industrialized countries since 1974. Empirical evidence shows that both nominal and real stock prices (and returns) are strongly positively correlated...

Exchange Rates and Capital Flows

Exchange Rates and Capital Flows »

Volume/Issue: 2001/190

Series: IMF Working Papers

Author(s): Robin Brooks , Torsten Sloek , Manmohan Kumar , and Hali Edison

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2001

DOI: http://dx.doi.org/10.5089/9781451859669.001

ISBN: 9781451859669

Keywords: exchange rate models, euro/dollar and yen/dollar exchange rates, exchange rate, exchange rates, bonds, bond, exchange rate movements,

This paper explores the ability of portfolio and foreign direct investment flows to track movements in the euro and the yen against the dollar. Net portfolio flows from the euro area into U.S. stocks—possibl...

Foreign Exchange Hedging with Synthetic Options and the Interest Rate Defense of a Fixed Exchange Rate Regime

Foreign Exchange Hedging with Synthetic Options and the Interest Rate Defense of a Fixed Exchange Rate Regime »

Volume/Issue: 1994/151

Series: IMF Working Papers

Author(s): Peter Garber , and Michael Spencer

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 1994

DOI: http://dx.doi.org/10.5089/9781451857009.001

ISBN: 9781451857009

Keywords: exchange rate, hedging, hedge, foreign exchange, fixed exchange rate

The IMF Working Papers series is designed to make IMF staff research available to a wide audience. Almost 300 Working Papers are released each year, covering a wide range of theoretical and analytical topics, inclu...