Advanced Search
MyIDEAS: Login

The Relevance of Current Risk in the EMU

Contents:

Author Info

  • Santis, Giorgio De
  • Gerard, Bruno
  • Hillion, Pierre
Registered author(s):

    Abstract

    We investigate how the elimination of the intra-european risk may affect international financial marks. To this end, we identify and measure the EMU and non-EMU components of aggregate currency risk using a conditional version of the International CAPM. We document significant exposures to and premiums for both sources of currency risk. The premium for EMU risk is positive and associated primarily with exposure to the French, Italian, and Spanish currencies. Not surprisingly, exposures to Austrian, Belgian, and Dutch currency risk and associated premiums are negligible. The premium for non-EMU risk is consistently negative and accounts for most of the aggregate currency premium. In the nineties, exposures to the EMU risk have significantly declined while exposures and premiums associated with non-EMU risk have significantly increased. This suggests that the adoption of the euro is unlikely to have large impact on aggregate currency risk-premiums.

    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.escholarship.org/uc/item/6gd3r57p.pdf;origin=repeccitec
    Download Restriction: no

    Bibliographic Info

    Paper provided by Anderson Graduate School of Management, UCLA in its series University of California at Los Angeles, Anderson Graduate School of Management with number qt6gd3r57p.

    as in new window
    Length:
    Date of creation: 23 Jul 1999
    Date of revision:
    Handle: RePEc:cdl:anderf:qt6gd3r57p

    Contact details of provider:
    Postal: 110 Westwood Plaza, Los Angeles, CA. 90095
    Web page: http://www.escholarship.org/repec/anderson_fin/
    More information through EDIRC

    Related research

    Keywords:

    References

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

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Haselmann, Rainer & Herwartz, Helmut, 2008. "Portfolio performance and the Euro: Prospects for new potential EMU members," Journal of International Money and Finance, Elsevier, vol. 27(2), pages 314-330, March.

    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:cdl:anderf:qt6gd3r57p. 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: (Lisa Schiff).

    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.