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Pricing Currency Risk: Facts and Puzzles from Currency Boards

The authors investigate the patterns and determinants of the currency risk premium in two currency boards-Argentina and Hong Kong. Despite the presumed rigidity of currency boards, currency premium is almost always positive and at times very large....

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Bibliographic Details
Main Authors: Schmukler, Sergio L., Servén, Luis
Language:English
en_US
Published: World Bank, Washington, D.C. 2013
Subjects:
ARBITRAGE
ARGENTINE PESO
ASSETS
BANK DEPOSITS
BANK FOR INTERNATIONAL SETTLEMENTS
BENCHMARK
BONDS
BORROWING COSTS
BRAZILIAN REAL
CANADIAN DOLLAR
CAPITAL ACCOUNT
CAPITAL CONTROLS
CAPITAL MARKETS
CENTRAL BANK
COMMON CURRENCY
CONVERTIBILITY
COST OF CAPITAL
CURRENCY
CURRENCY ASSETS
CURRENCY BOARD
CURRENCY BOARDS
CURRENCY CRISES
CURRENCY PEGS
CURRENCY PREMIUM
CURRENCY RISK
DEBT
DEFAULT RISK
DEVALUATION
DOMESTIC INTEREST RATES
ECONOMIC ACTIVITY
ECONOMIC DIMENSION
ECONOMIC PERFORMANCE
ECONOMIC SITUATION
EMERGING COUNTRIES
EMERGING ECONOMIES
EMERGING MARKETS
EURO
EUROPEAN MONETARY SYSTEM
EXCHANGE OPTIONS
EXCHANGE RATE
EXCHANGE RATE CHANGES
EXCHANGE RATE DETERMINATION
EXCHANGE RATE REGIME
EXCHANGE RATE REGIMES
EXCHANGE RATE RISK
EXCHANGE RISK
EXPENDITURES
FEDERAL RESERVE BANK OF NEW YORK
FINANCIAL CRISES
FINANCIAL DATA
FINANCIAL STABILITY
FINANCIAL SYSTEM
FLOATING EXCHANGE RATES
FORECASTS
FOREIGN CURRENCY
FOREIGN EXCHANGE
FOREIGN EXCHANGE MARKET
FOREIGN EXCHANGE MARKETS
FOREIGN EXCHANGE SETTLEMENT RISK
FOREIGN EXCHANGE SWAPS
FOREIGN EXCHANGE TRANSACTIONS
FORWARD EXCHANGE
GOVERNMENT BONDS
HONG KONG DOLLARS
HONG KONG MONETARY AUTHORITY
ILLIQUIDITY
INDONESIAN RUPIAH
INDUSTRIAL ECONOMIES
INFLATION
INFLATION PERFORMANCE
INTEREST RATE
INTEREST RATES
INTERNATIONAL BANKS
INTERNATIONAL FINANCE
JAPANESE YEN
KOREAN WON
LIQUIDITY
LOCAL CURRENCY
LONG TERM
MACROECONOMICS
MARKET VALUE
MATURITIES
MONEY MARKET
OUTPUT
OUTPUT GROWTH
OUTPUT VOLATILITY
PEGS
PERUVIAN SOL
PESOS
POLICY MAKERS
POLICY RESEARCH
PRIVATE SECTOR
REAL INTEREST
RISK AVERSE
RISK AVERSION
RISK PREMIA
RISK PREMIUM
RUSSIAN RUBLE
SCENARIOS
SECURITIES
SOLVENCY
SPOT EXCHANGE RATES
TAXATION
THAI BAHT
TRANSACTION COSTS
TRANSACTIONS COSTS
VOLATILITY CURRENCY BOARDS
MARKET SEGMENTATION
FORWARD EXCHANGE RATES
MONEY MARKET FUNDS
Online Access:http://documents.worldbank.org/curated/en/2002/03/1744003/pricing-currency-risk-facts-puzzles-currency-boards
http://hdl.handle.net/10986/14317

Internet

http://documents.worldbank.org/curated/en/2002/03/1744003/pricing-currency-risk-facts-puzzles-currency-boards
http://hdl.handle.net/10986/14317

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