Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/174441
Authors: 
Benavides, Guillermo
Year of Publication: 
2016
Series/Report no.: 
Working Papers, Banco de México 2016-11
Abstract: 
The objective of this paper is to analyze what are the main determinants of the exchange rate risk premium (ERP). The empirical case is conducted for the daily Mexican peso-USD exchange rate for a sample period from 2007 until 2015. According to the results the ERP is influenced by several financial variables which are the VIX, a carry trade index, the EMBI and the forward premium obtained from derivatives' transaction orders. These results are in line with previous results in the literature that have proven that exchange rate premiums are influenced by several financial variables, which are usually considered as "proxies" of risk.
Subjects: 
Mexican peso-USD Exchange Rate
Risk-Neutral Densities
Risk premiums
JEL: 
C22
C53
C58
G10
G13
Document Type: 
Working Paper
Appears in Collections:

Files in This Item:
File
Size
451.79 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.