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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...

Transactions Costs and Vehicle Currencies

Transactions Costs and Vehicle Currencies »

Source: Transactions Costs and Vehicle Currencies

Volume/Issue: 1989/96

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 21 November 1989

ISBN: 9781451949902

Keywords: transactions costs, foreign exchange, exchange rate, exchange rate risk, world trade

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...

The Behavior of Currencies during Risk-off Episodes1

The Behavior of Currencies during Risk-off Episodes1 »

Source: The Behavior of Currencies during Risk-off Episodes

Volume/Issue: 2013/8

Series: IMF Working Papers

Author(s): Reinout De Bock , and Irineu de Carvalho Filho

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 11 January 2013

ISBN: 9781557755308

Keywords: Risk-off episodes, safe haven currencies, exchange rate, currency markets, capital flows, global financial crisis,

Episodes of increased global risk aversion, also known as risk-off episodes, have become more frequent and severe since 2007. During these episodes, currency markets exhibit recurrent patterns, as the Japanese yen,...

Exchange-Rate Dark Matter

Exchange-Rate Dark Matter »

Source: Exchange-Rate Dark Matter

Volume/Issue: 2012/66

Series: IMF Working Papers

Author(s): Martin Evans

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2012

ISBN: 9781463938437

Keywords: Exchange Rate Dynamics, Open-Economy Macro Models, Habits, Incomplete Markets, risk, consumption, exchange-rate, exchange rates, depreciation, Macroeconomic Aspects Of International Trade And Finance

Dark matter accounts for 83 percent of the matter in the universe and plays a central role in cosmology modeling. This paper argues that an analogous form of dark matter plays a similarly important role in internat...

Increasing Dependency Ratios, Pensions, and Tax Smoothing1

Increasing Dependency Ratios, Pensions, and Tax Smoothing1 »

Source: Increasing Dependency Ratios, Pensions, and Tax Smoothing

Volume/Issue: 1998/129

Series: IMF Working Papers

Author(s): Vito Tanzi , and Efraim Sadka

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 1998

ISBN: 9781451934861

Keywords: Dependency ratios, a pay-as-you-go, defined-benefit pension, fully funded, defined-contribution pension, tax smoothing, real exchange rate risk, pension, pension fund, pension program

The implication of increasing dependency ratios for pay-as-you-go, defined-benefit pension programs are examined. Modifications aimed at smoothing contributions while maintaining benefits intact are analyzed for bo...

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...

Transactions Costs and Vehicle Currencies

Transactions Costs and Vehicle Currencies »

Volume/Issue: 1989/96

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 21 November 1989

DOI: http://dx.doi.org/10.5089/9781451949902.001

ISBN: 9781451949902

Keywords: transactions costs, foreign exchange, exchange rate, exchange rate risk, world trade

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...

The Behavior of Currencies during Risk-off Episodes

The Behavior of Currencies during Risk-off Episodes »

Volume/Issue: 2013/8

Series: IMF Working Papers

Author(s): Reinout De Bock , and Irineu de Carvalho Filho

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 11 January 2013

DOI: http://dx.doi.org/10.5089/9781557755308.001

ISBN: 9781557755308

Keywords: Risk-off episodes, safe haven currencies, exchange rate, currency markets, capital flows, global financial crisis,

Episodes of increased global risk aversion, also known as risk-off episodes, have become more frequent and severe since 2007. During these episodes, currency markets exhibit recurrent patterns, as the Japanese yen,...

Exchange-Rate Dark Matter

Exchange-Rate Dark Matter »

Volume/Issue: 2012/66

Series: IMF Working Papers

Author(s): Martin Evans

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2012

DOI: http://dx.doi.org/10.5089/9781463938437.001

ISBN: 9781463938437

Keywords: Exchange Rate Dynamics, Open-Economy Macro Models, Habits, Incomplete Markets, risk, consumption, exchange-rate, exchange rates, depreciation, Macroeconomic Aspects Of International Trade And Finance

Dark matter accounts for 83 percent of the matter in the universe and plays a central role in cosmology modeling. This paper argues that an analogous form of dark matter plays a similarly important role in internat...

Increasing Dependency Ratios, Pensions, and Tax Smoothing

Increasing Dependency Ratios, Pensions, and Tax Smoothing »

Volume/Issue: 1998/129

Series: IMF Working Papers

Author(s): Vito Tanzi , and Efraim Sadka

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 1998

DOI: http://dx.doi.org/10.5089/9781451934861.001

ISBN: 9781451934861

Keywords: Dependency ratios, a pay-as-you-go, defined-benefit pension, fully funded, defined-contribution pension, tax smoothing, real exchange rate risk, pension, pension fund, pension program

The implication of increasing dependency ratios for pay-as-you-go, defined-benefit pension programs are examined. Modifications aimed at smoothing contributions while maintaining benefits intact are analyzed for bo...