US Monetary Policy Uncertainty and Currency Risk Premia

2018 ◽  
Author(s):  
Ming Zeng
Keyword(s):  
Monetary Policy ◽  
Risk Premia ◽  
Policy Uncertainty ◽  
Currency Risk ◽  
Us Monetary Policy

Impact of US monetary policy uncertainty on Asian exchange rates

2020 ◽  
Author(s):  
Donghyun Park ◽  
Irfan Qureshi ◽  
Shu Tian ◽  
Mai Lin Villaruel
Keyword(s):  
Monetary Policy ◽  
Exchange Rates ◽  
Policy Uncertainty ◽  
Us Monetary Policy

GCC countries' market risk premia and US monetary policy announcements

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Hong Wu
Keyword(s):  
Monetary Policy ◽  
Global Economy ◽  
Capital Budgeting ◽  
Risk Premia ◽  
The State ◽  
Content Type ◽  
Portfolio Evaluation ◽  
Gcc Countries ◽  
Equity Indices ◽  
Us Monetary Policy

PurposeThis paper aims to examine if the market risk premiums of the Gulf Cooperation Council (GCC) countries are particularly higher on prescheduled US monetary policy announcement days. The findings shed light on the causality relationship from the state of the global economy to the GCC equity markets as well as their integration with the rest of the world.Design/methodology/approachThe author takes the standard event-study approach, following Fama et al. (1969). As the announcement days are prescheduled, the impact of the announcements on the GCC markets' risk premia allows for test of causality, while other studies address predictability and association.FindingsThe author finds that excess returns are higher, both economically and statistically, on announcement days in most individual GCC countries and the region overall. Moreover, additional compensations may not appear on the exact days of announcement in a few countries; rather, on the days right before or after announcements, possibly due to information leakage or gradual diffusion. My results show that there is a causal relationship from the state of the global economy to the GCC equity markets' risk premia. This new evidence supports integration between the Gulf region's and the world's financial markets.Practical implicationsThe evidence of risk–return transmission from US monetary policy announcements to GCC countries' equity indices supports integration between the region's and the world's financial markets. The study results will help guide investors' and corporations' investing, capital budgeting and portfolio evaluation decisions.Originality/valueThis paper extends the announcement literature (Savor and Wilson 2013, 2014) by examining the responses of the GCC countries, the major players of the global oil markets. The empirical analysis documents a causal relationship from the state of the global economy, as revealed by US monetary policy announcements, to the GCC equity indices. This new evidence supports increased integration between the Gulf region and the world, a finding that investors and corporations should consider when making investing, capital budgeting and portfolio evaluation decisions.

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