Engel, C., 1996. The forward discount anomaly and the risk premium: A survey of recent evidence. Journal of Empirical Finance 3, 123-192. Home/Search Document Not in Database Summary Related Articles Check |
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The Cost of Capital in International Financial.. - Koedijk, Kool.. (1999) (Correct)
.... the risk loadings and in (6) and (7) 2 i Before performing any tests, it is important to take a stance on whether exchange rate risk R i R L b e i R L Gc u L R G c 1 Sc 2 u L , 9 For an overview of the extensive literature on exchange rate risk we refer to Engel (1996). 12 The multifactor ICAPM can also be replaced by the single factor ICAPM when currency risk premia is zero 13 and when R is orthogonal to S, as mentioned above. However, unreported results show that the hypothesis of G orthogonality is strongly rejected for all firms in our sample. 16) ....
Engel, C. (1996), The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence, Journal of Empirical Finance, volume 3, no 2, 123-191.
The Forward Rate Unbiasedness Hypothesis Reexamined.. - Delcoure, Barkoulas, al. (Correct)
....Evans and Lewis (1993) and Alexakis and Apergis (1996) fail to even find a long run relationship between forward and corresponding future spot rates. Ngama (1992) 2 For alternative forms of testing the FRUH and a survey of the evidence and issues involved see Baillie and McMahon (1989) and Engel (1996). 3 A series is integrated of order d , denoted by Id ( if it is rendered stationary after differencing it d times. 4 Strictly speaking, the FRUH requires that t k S t f be a white noise process, a stronger condition than covariance stationarity. In that sense, the cointegration of t ....
Engel, C. (1996), The forward discount anomaly and the risk premium: A survey of recent evidence, Journal of Empirical Finance, 3, 123-192.
Nonlinear Prediction of Conditional Percentiles for Value-at-Risk - Chang, Weigend (1998) (Correct)
....of this work was to present and illustrate these techniques. 2 Ironically, the finance literature on this matter indicates that this does not actually seem to hold in many cases. However, this does not necessarily diminish its usefulness as a predictor variable. For references, see Lewis (1995) Engel (1996), and Backus, Foresi and Telmer (1998) However, there are certainly other potentially useful inputs; for example, a common stylized fact about asset returns is that they exhibit volatility clustering; two potential measure of volatility which we could use as inputs are exponentially decayed ....
Engel, C. (1996). The forward discount anomaly and the risk premium: A survey of recent evidence, Journal of Empirical Finance 3: 123--192.
Affine Models of Currency Pricing: Accounting for the.. - Backus, Foresi, Telmer (1998) (1 citation) (Correct)
....unconditional moments to conditional moments. A huge body of work has established, for the extant flexible exchange rate period, that forward premiums have been negatively correlated with subsequent depreciation rates for exchange rates between most major currencies. Canova and Marrinan (1995) Engel (1996), and Hodrick (1987) provide exhaustive references to the literature. The most common evidence comes from regressions of the form s t 1 Gamma s t = a 1 a 2 (f t Gamma s t ) residual: 1) The expectations hypothesis implies a regression slope a 2 = 1, yet most studies estimate a 2 to be ....
Engel, Charles, 1996, "The forward discount anomaly and the risk premium: A survey of recent evidence," Journal of Empirical Finance ??, 123-191.
The Adjustment of Prices and the Adjustment of the Exchange Rate - Engel, Morley (2000) Self-citation (Charles) (Correct)
....exchange rate adjustment. In our model, the log price levels and the log nominal exchange rate for a given pair of countries are subject to permanent and transitory shocks, but gravitate over time toward an unobserved equilibrium based on purchasing power parity (PPP) 2 See Hodrick (1987) and Engel (1996) for extensive surveys. 4 In its most general form, our model has the observed log price levels and the log exchange rate adjust toward unobserved equilibrium values according to kth order stationary autoregressive processes: t t t p v p p L = f , 1) t t t p v p p L ) ....
....follow bandwagon behavior: buying a currency if it appreciated in the previous period, for example. This type of bandwagon speculation conceivably could also be responsible for the very slow adjustment of nominal exchange rates to their equilibrium level. 8 See the surveys of Hodrick (1987) and Engel (1996). 24 ....
Engel, Charles, 1996, The forward discount anomaly and the risk premium: A survey of recent evidence, Journal of Empirical Finance 4, 123-192.
Rethinking the Forward Premium Puzzle in a Nonlinear Framework - Coakley, Fuertes (Correct)
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Engel, C., 1996. The forward discount anomaly and the risk premium: A survey of recent evidence. Journal of Empirical Finance 3, 123-192.
Can stochastic discount factor models explain the FOREX risk.. - Wickens, Smith (Correct)
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Engel,C.(1996) "The forward discount anomaly and the risk premium: A survey of recent evidence", Journal of Empirical Finance, 3, 123-192.
Speculative Bubbles and Excess Returns in European.. - Bubula, De Arcangelis (Correct)
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Engel, Charles (1996) "The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence", Journal of Empirical Finance, vol. 3, n. 2, p.
Exchange Rate Expectations and FDI Flows - Chakrabarti, Scholnick (Correct)
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Engel,C., 1996. The forward discount anomaly and the risk premium: A survey of the recent evidence. Journal of Empirical Finance 3, 123-192.
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