Exchange Rate and Foreign Inflation Risk Premiums in Global Equity Returns

CFA Digest ◽  
2001 ◽  
Vol 31 (1) ◽  
pp. 79-80
Author(s):  
Frank T. Magiera
Keyword(s):  
Exchange Rate ◽  
Equity Returns ◽  
Inflation Risk ◽  
Risk Premiums

Exchange rate risk premiums

1993 ◽  
Vol 12 (2) ◽  
pp. 182-194 ◽  
Author(s):  
Yin-Wong Cheng
Keyword(s):  
Exchange Rate ◽  
Exchange Rate Risk ◽  
Risk Premiums ◽  
Rate Risk

scholarly journals Accounting for Low Long-Term Interest Rates: Evidence from Canada

2020 ◽  
pp. 1.000-72.000
Author(s):  
Jens H. E. Christensen ◽  
◽  
Glenn D. Rudebusch ◽  
Patrick J. Shultz ◽  
Keyword(s):  
Interest Rates ◽  
Term Structure ◽  
Inflation Expectations ◽  
Real Rate ◽  
Inflation Risk ◽  
Risk Premiums ◽  
Term Structure Model ◽  
Sovereign Credit Risk ◽  
Debt Market

In recent decades, long-term interest rates around the world have fallen to historic lows. We examine this decline using a dynamic term structure model of Canadian nominal and real yields with adjustments for term, liquidity, and inflation risk premiums. Canada provides a useful case study that has been little examined despite its established indexed debt market, negligible distortions from monetary quantitative easing or the zero lower bound, and no sovereign credit risk. We find that since 2000, the steady-state real interest rate has fallen by more than 2 percentage points, long-term inflation expectations have edged down, and real bond and inflation risk premiums have fluctuated but shown little longer-run trend. Therefore, the drop in the equilibrium real rate appears largely to account for the lower new normal in interest rates.

The PPP View of Multihorizon Currency Risk Premiums

2020 ◽  
Author(s):  
Mikhail Chernov ◽  
Drew Creal
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Weak Form ◽  
Nominal Exchange Rate ◽  
Discount Factor ◽  
Stochastic Discount Factor ◽  
Current Interest ◽  
Yield Curves ◽  
Risk Premiums ◽  
Nonmonotonic Function

Abstract Exposures of expected future nominal depreciation rates to the current interest rate differential violate the UIP hypothesis in a pattern that is a nonmonotonic function of horizon. Forward expected nominal depreciation rates are monotonic. We explain the two patterns by simultaneously incorporating the weak form of PPP into a joint model of the stochastic discount factor, the nominal exchange rate, and domestic and foreign yield curves. Departures from PPP generate the first pattern. The risk premiums for these departures generate the second pattern. Thus, the variance of the stochastic discount factor is related to the real exchange rate.

Ex-Ante Real Rates and Inflation Risk Premiums: A Consumption-Based Approach

1998 ◽  
Author(s):  
Ayelet Balsam ◽  
Shmuel Kandel ◽  
Ori Levy
Keyword(s):  
Inflation Risk ◽  
Risk Premiums ◽  
Ex Ante

scholarly journals Exchange rate and inflation risk premia in the EMU

2012 ◽  
Vol 12 (6) ◽  
pp. 907-931 ◽  
Author(s):  
Begoña Font ◽  
Alfredo Juan Grau
Keyword(s):  
Exchange Rate ◽  
Risk Premia ◽  
Inflation Risk ◽  
Inflation Risk Premia

scholarly journals The effects of different inflation risk premiums on interest rate spreads

2004 ◽  
Vol 333 ◽  
pp. 317-324 ◽  
Author(s):  
Hakan Berument ◽  
Zubeyir Kilinc ◽  
Umit Ozlale
Keyword(s):  
Interest Rate ◽  
Inflation Risk ◽  
Risk Premiums ◽  
Interest Rate Spreads
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