Pricing Currency Risk: Facts andPuzzles from Currency Boards

Schmukler, Sergio L. ; Servé ; n, Luis

World Bank, Washington, D.C.

关键词: ARBITRAGE;    ARGENTINE PESO;    ASSETS;    BANK DEPOSITS;    BANK FOR INTERNATIONAL SETTLEMENTS;   

DOI  :  10.1596/1813-9450-2815
RP-ID  :  WPS2815

学科分类：社会科学、人文和艺术（综合）

来源: World Bank Open Knowledge Repository

【 摘 要 】

The authors investigate the patterns anddeterminants of the currency risk premium in two currencyboards-Argentina and Hong Kong. Despite the presumedrigidity of currency boards, currency premium is almostalways positive and at times very large. Its term structureis usually upward sloping, but flattens out or even becomesinverted at times of turbulence. Currency premia differacross markets. The forward discount typically exceeds thecurrency premium derived from interbank rates, particularlyduring times of crisis. The large magnitude of thesecross-market differences can be the consequence ofunexploited arbitrage opportunities, market segmentation, orother risks embedded in typical measures of currency risk.The premium and its term structure depend on domestic andglobal factors related to devaluation expectations and risk perceptions.