Article ID Journal Published Year Pages File Type
5101017 Journal of International Financial Markets, Institutions and Money 2016 13 Pages PDF
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
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