IMF: dollar volatility influences Gulf risk premia
An IMF paper published on Monday shows macroeconomic variables in the US and international oil prices have a large impact on foreign exchange risk in Gulf Cooperation Council (GCC) countries.
Tigran Poghosyan, the author, uses a stochastic discount factor methodology to analyse macroeconomic determinants of the foreign exchange risk premium in two GCC countries that peg their currencies to the dollar: Saudi Arabia and the United Arab Emirates.
Poghosyan finds that inflation and consumption
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