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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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