Exchange rate risk, distribution asymmetry and deviations from purchasing power parity

Arbeitspapier

Firstly, we show that domestic prices of net importer countries incorporate a risk premium, driven by higher moments of future nominal exchange rate returns and secondly, using US dollar exchange rates against three currencies of major net exporting countries to the US such as Canada, Japan and the European Union, we find that the skewness of the future nominal exchange rate is the major and statistically robust moment-based factor of the deviations from purchasing power parity (PPP). Our estimates further suggest that only low and moderate exchange rate risks induce risk premia that drive deviations from PPP.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Cardiff Economics Working Papers ; No. E2020/5

Klassifikation und Themen

• Klassifikation: Wirtschaft ; International Financial Markets ; Foreign Exchange ; Open Economy Macroeconomics
• Thema: Purchasing Power Parity ; risk-aversion ; exchange rate ; downside risk

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Arghyrou, Michael Georgiou ; Lu, Wenna ; Pourpourides, Panayiotis M.
• Ereignis: Veröffentlichung
• (wer): Cardiff University, Cardiff Business School
• (wo): Cardiff
• (wann): 2020

Weitere Informationen

• Handle: http://hdl.handle.net/10419/250315
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ