Add to ORKGWe characterize the exchange rate risk premium on the context of a small open economy with controlled floating exchange rate regime. The data set includes 100 observations on case of Vietnam over 01/2011-04/2019. The risk premium is varying over time. And it is determined by output growth rate, inflation rate, foreign capital inflows and liquidity supply. As one application, the existence of time varying risk premium reduces the effectiveness of foreign exchange market intervention by forward contract
The forward rate is often used as the market's prediction of the future spot exchange rate even thou...
This paper re-examines the issue of the existence of a time-varying risk premia in the three foreign...
Existing literature reports a puzzle about the forward foreign exchange rate premium over the spot f...
The nearer Vietnamese New Year festival comes, the more foreign currency is demanded in order to res...
We study the properties of foreign exchange risk premiums that can explain the forward bias puzzle, ...
This dissertation uses a time-varying risk premium to explain the failure of the unbiased forward ra...
In this article, we develop and estimate an econometric panel data model to capture the common dynam...
The presence of a risk premium in foreign exchange markets for the floating exchange rate period has...
As for the research into this subject, we find, therefore, that one of the most important indicators...
This article studies the impact of imperfect consumption risk sharing across countries on the format...
After the advent of the floating-rate system in February 1973, substantial fluctuations of exchange ...
In this paper we seek to develop a new approach to the time series analysis of foreign exchange risk...
This paper examines Vietnam's exchange rate policy during the Asian financial crisis. It concludes t...
Exchange rate pass-through always deserves interest of policy makers and economists. In this paper, ...
This study proposes a selective hedging strategy for managing foreign exchange risk which calls for ...
The forward rate is often used as the market's prediction of the future spot exchange rate even thou...
This paper re-examines the issue of the existence of a time-varying risk premia in the three foreign...
Existing literature reports a puzzle about the forward foreign exchange rate premium over the spot f...
The nearer Vietnamese New Year festival comes, the more foreign currency is demanded in order to res...
We study the properties of foreign exchange risk premiums that can explain the forward bias puzzle, ...
This dissertation uses a time-varying risk premium to explain the failure of the unbiased forward ra...
In this article, we develop and estimate an econometric panel data model to capture the common dynam...
The presence of a risk premium in foreign exchange markets for the floating exchange rate period has...
As for the research into this subject, we find, therefore, that one of the most important indicators...
This article studies the impact of imperfect consumption risk sharing across countries on the format...
After the advent of the floating-rate system in February 1973, substantial fluctuations of exchange ...
In this paper we seek to develop a new approach to the time series analysis of foreign exchange risk...
This paper examines Vietnam's exchange rate policy during the Asian financial crisis. It concludes t...
Exchange rate pass-through always deserves interest of policy makers and economists. In this paper, ...
This study proposes a selective hedging strategy for managing foreign exchange risk which calls for ...
The forward rate is often used as the market's prediction of the future spot exchange rate even thou...
This paper re-examines the issue of the existence of a time-varying risk premia in the three foreign...
Existing literature reports a puzzle about the forward foreign exchange rate premium over the spot f...