Arbeitspapier
Exchange rate risk premium: An analysis of its determinants for the Mexican Peso-USD
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 exchange rate for a sample 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 obtained from derivatives' transaction orders. These results are in line with previous results in the literature that have proven that exchange rate premiums are influenced by several financial variables, which are usually considered as "proxies" of risk.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Papers ; No. 2016-11
- Klassifikation
-
Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Forecasting Models; Simulation Methods
Financial Econometrics
General Financial Markets: General (includes Measurement and Data)
Contingent Pricing; Futures Pricing; option pricing
- Thema
-
Mexican peso-USD Exchange Rate
Risk-Neutral Densities
Risk premiums
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Benavides, Guillermo
- Ereignis
-
Veröffentlichung
- (wer)
-
Banco de México
- (wo)
-
Ciudad de México
- (wann)
-
2016
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Benavides, Guillermo
- Banco de México
Entstanden
- 2016
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