Series: IMF Working Papers
Author(s): Matthew Merritt , and Shaun Roache
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 August 2006
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...