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The World Price of Foreign Exchange Risk: Some Synthetic Comments

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  • Bruno Solnik

Abstract

International asset pricing requires to take into account currency risk. Equilibrium models of the international capital market show that risk premia should be associated with currency risks. This is supported by empirical evidence. This paper reviews the existing theoretical and empirical literature and discusses their practical implications.

Suggested Citation

  • Bruno Solnik, 1997. "The World Price of Foreign Exchange Risk: Some Synthetic Comments," European Financial Management, European Financial Management Association, vol. 3(1), pages 9-22, March.
    • Handle: RePEc:bla:eufman:v:3:y:1997:i:1:p:9-22
    DOI: 10.1111/1468-036X.00028
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    Cited by:

    1. Huang, Lin & Wu, Jia & Zhang, Rui, 2014. "Exchange risk and asset returns: A theoretical and empirical study of an open economy asset pricing model," Emerging Markets Review, Elsevier, vol. 21(C), pages 96-116.
    2. repec:dau:papers:123456789/9786 is not listed on IDEAS
    3. Sjoo, Boo & Sweeney, Richard J., 2000. "Time-varying foreign-exchange risk and central bank intervention: estimating profits from intervention and speculation," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(3-4), pages 275-286, December.
    4. O’Brien, Thomas J., 2022. "Cross-border valuation using the International CAPM and the constant perpetual growth model," Journal of Economics and Business, Elsevier, vol. 119(C).

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