Papers & Reviews

  • 11 December 2017
Taxonomy of global risk, uncertainty, and volatility measures

Keywords: risk, uncertainty, volatility, monetary policy, geopolitical risk, equities, interest rates, exchange rates, commodities, inflation, variance risk premium.

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  • 11 Octubre 2017
FX swaps and forwards: missing global debt?

Even when this debt is used to hedge FX risk, it can still involve significant maturity mismatches.

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  • 30 Agosto 2017
Do managerial risk-taking incentives influence firms exchange rate exposure?

Keywords: Risk-taking Incentives, Managerial Compensation, Exchange Rate Exposure, Risk Management, Corporate Governance.

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  • 26 Junio 2017
The missing risk premium in exchange rates

Keywords: Currency returns, forward premium puzzle, present-value model, real exchange rates, uncovered interest rate parity.

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  • 23 Junio 2017
Where is the risk?

The forward premium bias, the carry-trade premium, and risk-reversals in general equilibrium.

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