| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w9047 |
| 来源ID | Working Paper 9047 |
| Pricing Currency Risk: Facts and Puzzles from Currency Boards | |
| Sergio L. Schmukler; Luis Serven | |
| 发表日期 | 2002-07-11 |
| 出版年 | 2002 |
| 语种 | 英语 |
| 摘要 | Hard pegs, such as currency boards, intend to reduce or even eliminate currency risk. This paper investigates the patterns and determinants of the currency risk premium in two currency boards -- Argentina and Hong Kong. Despite the presumed rigidity of currency boards, the currency premium is almost always positive and at times very large. Its term structure is usually upward sloping, but flattens out or even becomes inverted at times of turbulence. Currency premia differ across markets. The forward discount typically exceeds the currency premium derived from interbank rates, particularly during crisis times. The large magnitude of these cross-market differences can be the consequence of unexploited arbitrage opportunities, market segmentation, or other risks embedded in typical measures of currency risk. The premium and its term structure depend on domestic and global factors, related to devaluation expectations and risk perceptions. |
| 主题 | International Economics ; International Finance |
| URL | https://www.nber.org/papers/w9047 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/566656 |
| 推荐引用方式 GB/T 7714 | Sergio L. Schmukler,Luis Serven. Pricing Currency Risk: Facts and Puzzles from Currency Boards. 2002. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w9047.pdf（514KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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