; Exchange Rate and Risk Premium Conversion on Interest Rate markets
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Exchange Rate and Risk Premium Conversion on Interest Rate markets

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This paper investigates common factors that jointly determine bond returns across-countries. We study how risk factors deriving bond prices influences exchange rates and we test if parameters of bond price process are fundamental in specifying exchange rate process. We use an arbitrage free international stochastic discount factor (SDF) framework in order to analyse interaction between bond prices and exchange rate process. We show that risk premia are different through countries and exchange rate serve to convert currency-specific risk premia across countries. [PUBLICATION ABSTRACT]

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									INTERNATIONAL JOURNAL OF BUSINESS, 13(1), 2008                        ISSN: 1083−4346



    Exchange Rate and Risk Premium Conversion
             on Interest Rate markets

                  Jean-Michel Sahuta and Medhi Milib
                  a
                      Professor of Finance, Groupe Sup de Co Amiens
                           & CEREGE – University of Poitiers
                                   jmsahut@gmail.com
                      b
                        Ph.D. Student, MODESFI - University of Sfax
                           & CEREGE – University of Poitiers


                                     ABSTRACT

This paper investigates common factors that jointly 
								
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