Wharton-SMU Research Center

In-House Seminar

Guest Speaker:
Yihong XIA
Assistant Professor of Finance, The Wharton School, University of Pennsylvania

Date & Venue:
Date: 25 June 2004, Friday
Time: 4.00pm-5.00pm
Venue: Eu Tong Sen Building, Level 1, Seminar Room 2,
Singapore Management University
469 Bukit Timah Road, Singapore 259756
(Location Map)

Topic:
International Capital Markets and Foreign Exchange Risk

About the Seminar:
The relation between the volatilities of pricing kernels associated with different currencies and the volatility of the exchange rate between the currencies is derived under the assumption of integrated capital markets, and the volatilities of the pricing kernels are related to the foreign exchange risk premium. Time series of pricing kernel volatilities are estimated from panel data on bond yields for five major currencies using a parsimonious term structure model that allows for time varying pricing kernel volatilities. The resulting estimates are used to test hypotheses about the relation between the volatilities of the pricing kernels in different currencies and the volatility of the exchange rate. As predicted, time variation in foreign exchange risk premia is found to be related to time variation in both the volatility of the pricing kernels and the volatility of exchange rates: the estimated pricing kernel volatilities can account for the forward premium puzzle in an 'average' sense across exchange rates.

Chairperson:
Justin Chan
Assistant Professor of Finance, School of Business, Singapore Management University

Registration:
This seminar is free. Please register early. (Admission on a first-come-first-served basis.)
For registration, please click here (Registration closes on 24 June 2004, Thursday)

Enquiries:
Ms. Lim Lih Yeng
Email: lylim@smu.edu.sg, Tel: 6822-0197
Ms. Priscilla Cheng
Email: priscillacheng@smu.edu.sg, Tel: 6822-0383