Loading...
Please wait, while we are loading the content...
Similar Documents
Exchange Rate Risk Premium: An Analysis of Its Determinants for the Mexican Peso-USD
| Content Provider | Scilit |
|---|---|
| Author | Benavides, Guillermo |
| Copyright Year | 2016 |
| Description | Journal: SSRN Electronic Journal The objective of this paper is to analyze what are the main determinants of the exchange rate risk premium (ERP). The empirical case is conducted for the daily Mexican peso-USD for a simple period from 2007 until 2015. According to the results the ERP is influenced by several financial variables which are the VIX, a carry trade index, the EMBI and the forward premium. These results are in line with previous results in the literature that have proven that exchange rate premium are influenced by several financial variables, which are usually considered as 'proxies' of risk. |
| Related Links | https://dialnet.unirioja.es/descarga/articulo/6266337.pdf https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=2808249 |
| ISSN | 10914358 |
| e-ISSN | 15565068 |
| DOI | 10.2139/ssrn.2808249 |
| Journal | SSRN Electronic Journal |
| Language | English |
| Publisher | Elsevier BV |
| Publisher Date | 2016-06-11 |
| Access Restriction | Open |
| Subject Keyword | Journal: SSRN Electronic Journal Social Sciences, Interdisciplinary Exchange Rates Mexican Peso-usd Risk-neutral Densities Risk Premiums |
| Content Type | Text |
| Resource Type | Article |
| Subject | Public Health, Environmental and Occupational Health Psychiatry and Mental Health |