Advanced Search
MyIDEAS: Login to save this article or follow this journal

Exchange Rates and the Conversion of Currency-Specific Risk Premia

Contents:

Author Info

  • Astrid Eisenberg
  • Markus Rudolf
Registered author(s):

    Abstract

    "How do the risk factors that drive asset prices influence exchange rates? Are the parameters of asset price processes relevant for specifying exchange rate processes? Most international asset pricing models focus on the analysis of asset returns given exchange rate processes. Little work has been done on the analysis of exchange rates dependent on asset returns. This paper uses an international stochastic discount factor (SDF) framework to analyse the interplay between asset prices and exchange rates. So far, this approach has only been implemented in international term structure models. We find that exchange rates serve to convert currency-specific discount factors and currency-specific prices of risk - a result linked to the international arbitrage pricing theory (IAPT). Our empirical investigation of exchange rates and stock markets of four countries presents evidence for the conversion of currency-specific risk premia by exchange rates." Copyright 2007 The Authors Journal compilation (c) 2007 Blackwell Publishing Ltd.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1468-036X.2007.00378.x
    File Function: link to full text
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Bibliographic Info

    Article provided by European Financial Management Association in its journal European Financial Management.

    Volume (Year): 13 (2007)
    Issue (Month): 4 ()
    Pages: 672-701

    as in new window
    Handle: RePEc:bla:eufman:v:13:y:2007:i:4:p:672-701

    Contact details of provider:
    Web page: http://www.blackwellpublishing.com/journal.asp?ref=1354-7798
    More information through EDIRC

    Order Information:
    Web: http://www.blackwellpublishing.com/subs.asp?ref=1354-7798

    Related research

    Keywords:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:bla:eufman:v:13:y:2007:i:4:p:672-701. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.