EXCHANGE RATE RISK PREMIUM: AN ANLYSIS OF ITS DETERMINANTS FOR THE MEXICAN PESO-USD
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| Natura: | Artículo científico |
| Lingua: | en |
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Instituto Mexicano de Ejecutivos de Finanzas A.C.
2016
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| _version_ | 1876430653289922560 |
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| author | Guillermo Benavides |
| author_facet | Guillermo Benavides |
| contents | EXCHANGE RATE RISK PREMIUM: AN ANLYSIS OF ITS DETERMINANTS FOR THE MEXICAN PESO-USD Guillermo Benavides Economía y Finanzas USD Risk Mexican peso Risk premiums Exchange rates The objective of this paper is to analyze what are the main determinants of the exchange rate risk premium (ERP). The empirical case is conducted for the daily Mexican peso-USD for a sample period from 2007 until 2015. According to the results the ERP is influenced by several financial variables which are the VIX, a carry trade index, the EMBI and the forward premium. These results are in line with previous results in the literature that have proven that exchange rate premia are influenced by several financial variables, which are usually considered as “proxies” of risk. 2016 artículo científico 1665-5346 https://www.redalyc.org/articulo.oa?id=423743961003 https://www.redalyc.org/journal/4237/423743961003/ https://www.redalyc.org/journal/4237/423743961003/html/ https://www.redalyc.org/journal/4237/423743961003/423743961003.epub https://www.redalyc.org/journal/4237/423743961003/movil en http://www.redalyc.org/revista.oa?id=4237 Revista Mexicana de Economía y Finanzas. Nueva Época / Mexican Journal of Economics and Finance application/pdf Instituto Mexicano de Ejecutivos de Finanzas A.C. Revista Mexicana de Economía y Finanzas. Nueva Época / Mexican Journal of Economics and Finance (México) Num.1 Vol.11 |
| format | Artículo científico |
| id | redalyc_423743961003 |
| institution | Redalyc |
| language | en |
| publishDate | 2016 |
| publisher | Instituto Mexicano de Ejecutivos de Finanzas A.C. |
| spellingShingle | EXCHANGE RATE RISK PREMIUM: AN ANLYSIS OF ITS DETERMINANTS FOR THE MEXICAN PESO-USD Guillermo Benavides Economía y Finanzas USD Risk Mexican peso Risk premiums Exchange rates EXCHANGE RATE RISK PREMIUM: AN ANLYSIS OF ITS DETERMINANTS FOR THE MEXICAN PESO-USD Guillermo Benavides Economía y Finanzas USD Risk Mexican peso Risk premiums Exchange rates The objective of this paper is to analyze what are the main determinants of the exchange rate risk premium (ERP). The empirical case is conducted for the daily Mexican peso-USD for a sample period from 2007 until 2015. According to the results the ERP is influenced by several financial variables which are the VIX, a carry trade index, the EMBI and the forward premium. These results are in line with previous results in the literature that have proven that exchange rate premia are influenced by several financial variables, which are usually considered as “proxies” of risk. 2016 artículo científico 1665-5346 https://www.redalyc.org/articulo.oa?id=423743961003 https://www.redalyc.org/journal/4237/423743961003/ https://www.redalyc.org/journal/4237/423743961003/html/ https://www.redalyc.org/journal/4237/423743961003/423743961003.epub https://www.redalyc.org/journal/4237/423743961003/movil en http://www.redalyc.org/revista.oa?id=4237 Revista Mexicana de Economía y Finanzas. Nueva Época / Mexican Journal of Economics and Finance application/pdf Instituto Mexicano de Ejecutivos de Finanzas A.C. Revista Mexicana de Economía y Finanzas. Nueva Época / Mexican Journal of Economics and Finance (México) Num.1 Vol.11 |
| title | EXCHANGE RATE RISK PREMIUM: AN ANLYSIS OF ITS DETERMINANTS FOR THE MEXICAN PESO-USD |
| topic | Economía y Finanzas USD Risk Mexican peso Risk premiums Exchange rates |
| url | https://www.redalyc.org/articulo.oa?id=423743961003 https://www.redalyc.org/journal/4237/423743961003/ https://www.redalyc.org/journal/4237/423743961003/html/ https://www.redalyc.org/journal/4237/423743961003/423743961003.epub https://www.redalyc.org/journal/4237/423743961003/movil |