Exchange Rate Risk Premium: an Analysis of its Determinants for the Mexican Peso-USD

• Autores: Guillermo Benavides P.
• Localización: Revista Mexicana de Economía y Finanzas (REMEF): nueva época, ISSN-e 2448-6795, ISSN 1665-5346, Vol. 11, Nº. 1, 2016, págs. 55-77
• Idioma: inglés
• DOI: 10.21919/remef.v11i1.77
• Enlaces
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• Dialnet Métricas: 3 Citas
• Resumen
  • español

    El objetivo del presente trabajo es analizar cuáles son los principales determinantes de la prima de riesgo de tipo de cambio (ERP por sus siglas en inglés). El caso empírico se lleva a cabo para el peso -dólar diario durante un período a partir de 2007 y hasta 2015. De acuerdo con los resultados obtenidos el ERP esta ́ influenciado por diversas variables financieras que son el VIX , un índice de carry trade, el EMBI y la prima por órdenes de transacciones en contratos de derivados. Estos resultados esta ́n en línea con los resultados previos en la literatura que han demostrado que las primas de tipo de cambio son influenciados por diversas variables financieras, que por lo general se consideran como “proxies” de riesgo.

  • English

    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 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. These results are in line with previous results in the literature that have proven that exchange rate premia are influenced by several financial variables, which are usually considered as “proxies” of risk.

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