The Arbitrage Pricing Theory and Foreign Exchange Risk Premia

1993 ◽  
Vol 19 (3/4) ◽  
pp. 40-67 ◽  
Author(s):  
Lee Sarver ◽  
George C. Philippatos
Keyword(s):  
Foreign Exchange ◽  
Risk Premia ◽  
Arbitrage Pricing Theory ◽  
Arbitrage Pricing ◽  
Foreign Exchange Risk ◽  
Exchange Risk ◽  
Pricing Theory

scholarly journals Estimates of foreign exchange risk premia: a pricing kernel approach

2007 ◽  
Vol 35 (3) ◽  
pp. 475-495 ◽  
Author(s):  
Lorenzo Cappiello ◽  
Nikolaos Panigirtzoglou
Keyword(s):  
Foreign Exchange ◽  
Risk Premia ◽  
Pricing Kernel ◽  
Foreign Exchange Risk ◽  
Exchange Risk ◽  
Kernel Approach

scholarly journals Exchange Rates and Liquidity Risk

2020 ◽  
Vol 11 (2) ◽  
pp. 159
Author(s):  
Martin D.D. EVANS
Keyword(s):  
Risk Factors ◽  
Exchange Rates ◽  
Foreign Exchange ◽  
Foreign Currency ◽  
Liquidity Risk ◽  
Risk Premia ◽  
Time Varying ◽  
Foreign Exchange Risk ◽  
Exchange Risk

I use Forex trading data to study how risks associated with the lack of liquidity contribute to the dynamics of 17 spot exchange rates through their time-varying contributions to risk premia. I find that liquidity risk matters. All the foreign exchange risk premia compensate investors for exposure to liquidity risk; and, for many currencies, exposure to liquidity risk appears to be more important than exposure to the traditional carry and momentum risk factors. I also find that variations in the price of liquidity risk make economically important contributions to the behavior of individual foreign currency returns: they account for approximately 34%, on average, of the variability in currency returns compared to the contribution of approximately 8% from the prices of carry and momentum risk.

scholarly journals Valuation of Government Bonds: the Exchange Rate Is an Important Aspect

2017 ◽  
Vol 65 (6) ◽  
pp. 1911-1916
Author(s):  
Blanka Francová
Keyword(s):  
Regression Model ◽  
Interest Rates ◽  
Arbitrage Pricing Theory ◽  
Arbitrage Pricing ◽  
Data Set ◽  
Government Bonds ◽  
Exchange Risk ◽  
Pricing Theory ◽  
Multi Linear Regression ◽  
The Relationship

Interest rates are currently very low in the countries. In these countries bonds are issued with low or negative yields. In this paper, I empirically investigate the factors that affect the price of bonds. I follow international arbitrage pricing theory to determine the relationship between factors and the price of bonds. The international arbitrage pricing theory applies a multi‑linear regression model. The regression model is used for emerging markets and developing markets separately. I have a unique data set of 46 countries. The main data are the monthly returns on government bonds in the period 2010–2015. Exchange risk influences the bond prices. Currency movements can bring further yield for investors.

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