Papers & Reviews

  • 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.

Leer más
  • 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.

Leer más
  • 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.

Leer más
  • 23 Junio 2017
Where is the risk?

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

Leer más
  • 30 Mayo 2017
Assessing the predictive ability of sovereign default risk on exchange rate returns

The inclusion of the default risk factor improves the forecasting accuracy upon the random walk model at short forecasting horizons.

Leer más