G2TT
来源类型Discussion paper
规范类型论文
来源IDDP7312
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
URLhttps://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.
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