Pricing currency risk : facts and puzzles from currency boards

About

Countries

Data & Research

Learning

News

Projects & Operations

Publications

Topics

Home > Data & Research > Research > Author Profile > Report Details

Pricing currency risk : facts and puzzles from currency boards, Volume 1

Author:	Schmukler, Sergio L.; Serven, Luis;	Collection Title:	Policy, Research working paper series ; no. WPS 2815
Date Stored:	2002/04/03	Document Date:	2002/03/31
Document Type:	Policy Research Working Paper	Language:	English
Major Sector:	Finance	Report Number:	WPS2815
Sub Sectors:	Other Finance	SubTopics:	Environmental Economics & Policies; Economic Theory & Research; Payment Systems & Infrastructure; Macroeconomic Management; Banks & Banking Reform; Fiscal & Monetary Policy
Volume No:	1

Summary: 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. 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 times of crisis. 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.


Official Documents Official, scanned versions of documents (may include signatures, etc.)
File Type		Description	File Size (mb)

	PDF 82 pages	Official version*	5.74 (approx.)
	Text	Text version**


Light-Weight Documents Lighter (less MB) documents which may or may not be the final, official version
File Type		Description	File Size (mb)

	PDF 77 pages	WPS2815	0.41

* The official version is derived from scanning the final, paper copy of the document and is the official,
archived version including all signatures, charts, etc.

** The text version is the OCR text of the final scanned version and is not an accurate representation of the final text.
It is provided solely to benefit users with slow connectivity.

Permanent URL for this page: http://go.worldbank.org/FM6MUTBEV0