explanation relation between risk and return and capital asset pricing are concepts which is appointed as dominator and major paradigms in capital markets. so far as after offering capm by sharp & lintner, this model has been revised and criticized frequently. in this paper another version of capm has been tested versus traditional capm in tehran stock exchange. this version of capm measures se...

In the jungle, power and coercion govern the exchange of resources. We study a simple, stylized model of the jungle that mirrors an exchange economy. We define the notion of jungle equilibrium and demonstrate that a number of standard results of competitive markets hold in the jungle. JEL Classification: C7, D4, S477, B201

1 The paper is based on our forthcoming book, Exchange Rate Regime, Choices and Consequences, MIT Press. The views expressed do not reflect the official views of the IMF.

Southern Cone economies exhibit a high record of exchange rate volatility. In this context, firms tend to contract dollar debt, irrespective of their trade orientation, and without available hedging instruments. This exposes them to bankruptcy risk, in the event of large exchange rate movements. This paper provides a framework to analyze the output effect of exchange rate uncertainty in that co...

This paper presents results from an in-depth analysis of the foreign exchange rate exposure of a large nonfinancial firm based on proprietary internal data including cash flows, derivatives and foreign currency debt, as well as external capital market data. While the operations of the multinational firm have significant exposure to foreign exchange rate risk due to foreign currency-based activi...

The recent sharp appreciation of the Canadian dollar vs. the US dollar poses difficulties for the Canadian economy and reignites the debate as to whether Canada should fix the Canadian dollar to the US dollar by implementing a unilateral peg or forming a monetary union. We compare the welfare of different combinations of monetary and currency policies in an open-economy macroeconomic model that...

Using a nonlinear structural Vector Autoregression model based on the general no-arbitrage condition, we examine the empirical relation between macroeconomic shocks and the foreign exchange risk premiums. We find that when the predictable excess returns from currency speculation are interpreted as time-varying risk premiums, more than 80% of its volatility can be accounted for by the same funda...

A number of theoretical models predict that the slope of the Phillips curve increases with trade openness, but cross-country studies provide little evidence for such a correlation. We highlight two reasons for this …nding. Firstly, the strength of the relationship may depend on the extent of exchange rate adjustment, which is a potential determinant of output and in‡ation dynamics in open econo...

Daily data from the German and U.S. equity markets before and after the introduction of the Euro are used to study the effect of exchange rate regime choices on equity markets. It is found that, since the introduction of the Euro, the volatility and the persistence of the German stock index have fallen significantly relative to those of the U.S. index. However, the switch in exchange rate arran...

This study investigates an adjustment process in the bilateral trade balances of five countries within the Caribbean, with their largest trading partner, namely the United States. Unlike previous studies, this study controls for oil prices which play a vital role in the countries’ trade balances. A panel econometric technique was utilized using annual data over the period 19802012. Analysis of ...