Asset Markets, Exchange Rates, and Economic Policy

2000 ◽  
pp. 416-443
Keyword(s):  
Economic Policy ◽  
Exchange Rates ◽  
Asset Markets

Floating Exchange Rates and National Economic Policy

1979 ◽  
Vol 45 (3) ◽  
pp. 992
Author(s):  
William B. Stronge ◽  
Stanley W. Black
Keyword(s):  
Economic Policy ◽  
Exchange Rates ◽  
National Economic ◽  
Floating Exchange Rates ◽  
National Economic Policy

Floating Exchange Rates and National Economic Policy.

Economica ◽  
1979 ◽  
Vol 46 (183) ◽  
pp. 314
Author(s):  
Michael Beenstock ◽  
Stanley W. Black
Keyword(s):  
Economic Policy ◽  
Exchange Rates ◽  
National Economic ◽  
Floating Exchange Rates ◽  
National Economic Policy

scholarly journals Rare Disasters and Exchange Rates *

2015 ◽  
Vol 131 (1) ◽  
pp. 1-52 ◽  
Author(s):  
Emmanuel Farhi ◽  
Xavier Gabaix
Keyword(s):  
Exchange Rates ◽  
Interest Rates ◽  
Asset Markets ◽  
Carry Trade ◽  
Currency Options ◽  
Forward Premium ◽  
Rare Disasters ◽  
Excess Volatility ◽  
Premium Puzzle ◽  
Exchange Rate Disconnect

Abstract We propose a new model of exchange rates, based on the hypothesis that the possibility of rare but extreme disasters is an important determinant of risk premia in asset markets. The probability of world disasters as well as each country’s exposure to these events is time-varying. This creates joint fluctuations in exchange rates, interest rates, options, and stock markets. The model accounts for a series of major puzzles in exchange rates: excess volatility and exchange rate disconnect, forward premium puzzle and large excess returns of the carry trade, and comovements between stocks and exchange rates. It also makes empirically successful signature predictions regarding the link between exchange rates and telltale signs of disaster risk in currency options.

Sign in / Sign up

Export Citation Format

Share Document