Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5101017 | Journal of International Financial Markets, Institutions and Money | 2016 | 13 Pages |
Abstract
This paper studies the evidence of risk premiums in emerging market carry trade currencies. We verified evidence of a forward bias puzzle and the presence of risk premium for all currencies. Furthermore, unanticipated shocks are of greater influence than fundamental variables in explaining long-term (permanent) risk-premium volatility components. On the other hand, in moments of global market uncertainty related to speculative pressures, the short-term (transitory) risk-premium volatility component increases.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Marcelo Bittencourt Coelho dos Santos, Marcelo Cabus Klotzle, Antonio Carlos Figueiredo Pinto,