English, Article, Journal or magazine article edition: Time-Varying Risk Premia in the Foreign Currency Futures Basis John Barkoulas; Christopher F. Baum

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Bookmark: http://trove.nla.gov.au/version/73453
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Time-Varying Risk Premia in the Foreign Currency Futures Basis
Author
  • John Barkoulas
  • Christopher F. Baum
Physical Description
  • preprint
Notes
  • Significant time-varying risk premia exist in the foreign currency futures basis, and these risk premia are meaningfully correlated with common macroeconomic risk factors from equity and bond markets. The stock index dividend yield and the bond default and term spreads in the U.S. markets help forecast the risk premium component of the foreign currency futures basis. The specific source of risk matters, but the relationships are robust across currencies. The currency futures basis is positively associated with the dividend yield and negatively associated with the spread variables. These correlations cannot be attributed to the expected spot price change component of the currency futures basis, thus establishing the presence of a time-varying risk premium component in the currency futures basis.
  • risk premia, foreign exchange
  • RePEc:boc:bocoec:281
Language
  • English
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