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Currency Risk Premia in Global Stock Markets

Currency Risk Premia in Global Stock Markets »

Source: Currency Risk Premia in Global Stock Markets

Volume/Issue: 2006/194

Series: IMF Working Papers

Author(s): Matthew Merritt , and Shaun Roache

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2006

ISBN: 9781451864540

Keywords: Arbitrage pricing theory, risk prices, asset pricing, exchange rate, currency risk, exchange risk, foreign exchange risk, International Finance Forecasting and Simulation,

Large fundamental imbalances persist in the global economy, with potential exchange rate implications. This paper assesses whether exchange rate risk is priced across G-7 stock markets. Given the multitude of hedgi...

The Global Financial Crisis and Adjustment to Shocks in Kenya, Tanzania, and Uganda
			: A Balance Sheet Analysis Perspective

The Global Financial Crisis and Adjustment to Shocks in Kenya, Tanzania, and Uganda : A Balance Sheet Analysis Perspective »

Volume: 09

Series: Departmental Papers / Policy Papers

Author(s): Iyabo Masha

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 15 December 2009

DOI: http://dx.doi.org/10.5089/9781462360628.087

ISBN: 9781462360628

Keywords: Banking sector, foreign currency, financial derivatives, domestic currency, foreign exchange, banking

This paper analyzes the impact of the global financial crisis on the banking systems in Kenya, Tanzania, and Uganda, and their responses to it, using information from banking system balance sheets. The paper undert...

The Global Financial Crisis and Adjustment to Shocks in Kenya, Tanzania, and Uganda: A Balance Sheet Analysis Perspective

The Global Financial Crisis and Adjustment to Shocks in Kenya, Tanzania, and Uganda: A Balance Sheet Analysis Perspective »

Source: The Global Financial Crisis and Adjustment to Shocks in Kenya, Tanzania, and Uganda : A Balance Sheet Analysis Perspective

Volume: 09

Series: Departmental Papers / Policy Papers

Author(s): Iyabo Masha

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 15 December 2009

ISBN: 9781462360628

Keywords: Banking sector, foreign currency, financial derivatives, domestic currency, foreign exchange, banking

This paper analyzes the impact of the global financial crisis on the banking systems in Kenya, Tanzania, and Uganda, and their responses to it, using information from banking system balance sheets. The paper undert...

Global Trade and the Dollar1

Global Trade and the Dollar1 »

Source: Global Trade and the Dollar

Volume/Issue: 2017/239

Series: IMF Working Papers

Author(s): Emine Boz , Gita Gopinath , and Mikkel Plagborg-Møller

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 13 November 2017

ISBN: 9781484327975

Keywords: Bilateral trade, Foreign exchange, Bayesian semiparametrics, dominant currency, exchange rate passthrough, hierarchical Bayes, panel data, trade elasticity, US dollar, exchange rate pass-through

We document that the U.S. dollar exchange rate drives global trade prices and volumes. Using a newly constructed data set of bilateral price and volume indices for more than 2,500 country pairs, we establish the fo...

Currency Risk Premia in Global Stock Markets

Currency Risk Premia in Global Stock Markets »

Volume/Issue: 2006/194

Series: IMF Working Papers

Author(s): Matthew Merritt , and Shaun Roache

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2006

DOI: http://dx.doi.org/10.5089/9781451864540.001

ISBN: 9781451864540

Keywords: Arbitrage pricing theory, risk prices, asset pricing, exchange rate, currency risk, exchange risk, foreign exchange risk, International Finance Forecasting and Simulation,

Large fundamental imbalances persist in the global economy, with potential exchange rate implications. This paper assesses whether exchange rate risk is priced across G-7 stock markets. Given the multitude of hedgi...

Global Trade and the Dollar

Global Trade and the Dollar »

Volume/Issue: 2017/239

Series: IMF Working Papers

Author(s): Emine Boz , Gita Gopinath , and Mikkel Plagborg-Møller

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 13 November 2017

DOI: http://dx.doi.org/10.5089/9781484327975.001

ISBN: 9781484327975

Keywords: Bilateral trade, Foreign exchange, Bayesian semiparametrics, dominant currency, exchange rate passthrough, hierarchical Bayes, panel data, trade elasticity, US dollar, exchange rate pass-through

We document that the U.S. dollar exchange rate drives global trade prices and volumes. Using a newly constructed data set of bilateral price and volume indices for more than 2,500 country pairs, we establish the fo...