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Currency Risk Premiums: A Multi-Horizon Perspective (Foundations and Trends® in Finance)

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Description

Currency Risk Premiums: A Multi-Horizon Perspective reviews the literature on multi-horizon currency risk premiums. It shows how the multi-horizon implications arise from the classic present-value relationship. The authors further show how these implications manifest themselves in the interaction between bond and currency risk premiums. This link is strengthened by explicitly accounting for stochastic discount factors. Information about currency risk premiums at different horizons presents a wealth of new evidence and challenges for existing models.

Product Specifications

Format
paperback
Domain
Amazon UK
Release Date
29 November 2023
Listed Since
01 December 2023

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