| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP7312 |
| DP7312 Computing DSGE Models with Recursive Preferences | |
| Juan Francisco Rubio-Ramírez; Jesus Fernandez-Villaverde; Dario Caldara; Wen Yao | |
| 发表日期 | 2009-06-23 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | How much of carry trade excess returns can be explained by the presence of disaster risk? To answer this question, we propose a simple structural model that includes both Gaussian and disaster risk premia and can be estimated even in samples that do not contain disasters. The model points to a novel estimation procedure based on currency options with potentially different strikes. We implement this procedure on a large set of countries over the 1996-2008 period, forming portfolios of hedged and unhedged carry trade excess returns by sorting currencies based on their forward discounts. We find that disaster risk premia account for about 25% of expected carry trade excess returns in advanced countries. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | Carry trade Currency crisis Currency options Disaster risk exchange rate Financial crisis |
| URL | https://cepr.org/publications/dp7312 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/536163 |
| 推荐引用方式 GB/T 7714 | Juan Francisco Rubio-Ramírez,Jesus Fernandez-Villaverde,Dario Caldara,et al. DP7312 Computing DSGE Models with Recursive Preferences. 2009. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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