ABSTRACT Departures from purchasing power parity imply that different countries have different prices for goods when a common numeraire is used. Stochastic changes in exchange rates are associated with changes in these prices and constitute additional sources of risk in asset…
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Purchasing power parity · Numéraire · Interest rate parity · Exchange rate · Foreign exchange risk · Economics · Financial economics · Capital asset pricing model
# The World Price of Foreign Exchange Risk
> OpenAlex Metadata Hub · https://openalex.org/W3021353747
## Bibliographic
- **DOI:** 10.1111/j.1540-6261.1995.tb04791.x
- **Year:** 1995
- **Citations:** 808
- **Open Access:** No (closed)
- **License:** —
- **Source:** https://doi.org/10.1111/j.1540-6261.1995.tb04791.x
## Authors
- Bernard Dumas
- Bruno Solnik
## Abstract
ABSTRACT Departures from purchasing power parity imply that different countries have different prices for goods when a common numeraire is used. Stochastic changes in exchange rates are associated with changes in these prices and constitute additional sources of risk in asset pricing models. This article investigates whether exchange rate risks are priced in international asset markets using a conditional approach that allows for time variation in the rewards for exchange rate risk. The results for equities and currencies of the world's four largest equity markets support the existence of foreign exchange risk premia.
## Keywords
Purchasing power parity, Numéraire, Interest rate parity, Exchange rate, Foreign exchange risk, Economics, Financial economics, Capital asset pricing model, Foreign exchange, Monetary economics, Equity (law), Risk premium, Foreign exchange market
## Concepts
- Purchasing power parity
- Numéraire
- Interest rate parity
- Exchange rate
- Foreign exchange risk
- Economics
- Financial economics
- Capital asset pricing model
- Foreign exchange
- Monetary economics
- Equity (law)
- Risk premium
- Foreign exchange market
- Law
- Political science
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*Metadata only — full text not imported unless Open Access license permits.*
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Tóm lược học thuật (đã diễn giải): ABSTRACT Departures from purchasing power parity imply that different countries have different prices for goods when a common numeraire is used. Stochastic changes in exchange rates are associated with changes in these prices and constitute additional sources of risk in asset pricing models. This article investigates whether exchange rate risks are priced in international asset markets using a conditional approach that allows for time variation in the rewards for exchange rate risk. The results for equities and currencies of the world's four largest equity markets support the existence of foreign exchange risk premia.
Phần Trading Insights bên dưới nối nghiên cứu với Forex, vàng, USD, lãi suất và risk regime — để bạn đưa vào journal và playbook.
Metadata DOI/OA chỉ là rail tham chiếu; nội dung chính là summary, takeaways và ứng dụng thị trường do Content Factory sinh.
1. ABSTRACT Departures from purchasing power parity imply that different countries have different prices for goods when a common numeraire is used.
2. Stochastic changes in exchange rates are associated with changes in these prices and constitute additional sources of risk in asset pricing models.
3. This article investigates whether exchange rate risks are priced in international asset markets using a conditional approach that allows for time variation in the rewards for exchange rate risk.
4. The results for equities and currencies of the world's four largest equity markets support the existence of foreign exchange risk premia.
Trader nên nối luận điểm policy/lãi suất trong tài liệu với bias trung hạn của USD và các cặp major — đặc biệt quanh FOMC / dữ liệu CPI.
Với XAUUSD: kỳ vọng cắt lãi / USD yếu thường hỗ trợ vàng; hawkish surprise thường gây áp lực giảm — dùng khung này để đọc reaction sau tin, không đoán trước.
Áp dụng vào FX: theo dõi transmission từ theory (pricing, carry, balance-sheet) sang hành vi giá trên M15–H4 sau các event thanh khoản cao.
Góc Forex: đối chiếu kết luận bài với hành giá gần nhất và lịch tin impact cao trước khi vào lệnh.
Góc Gold (XAUUSD): đối chiếu kết luận bài với hành giá gần nhất và lịch tin impact cao trước khi vào lệnh.
Trading: rút 1 bias hoặc 1 setup hypothesis từ Key Takeaways, test trên demo/journal trước khi live.
Risk: chuyển insight thành rule (max risk/trade, pause quanh tin, correlation USD–vàng) và gắn vào playbook.
