| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8503 |
| DP8503 Properties of Foreign Exchange Risk Premiums | |
| LUCIO SARNO; Paul Schneider; Christian Wagner | |
| 发表日期 | 2011-08-01 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | We study the properties of foreign exchange risk premiums that can explain the forward bias puzzle, defined as the tendency of high-interest rate currencies to appreciate rather than depreciate. These risk premiums arise endogenously from the no-arbitrage condition relating the term structure of interest rates and exchange rates. Estimating affine (multi-currency) term structure models reveals a noticeable tradeoff between matching depreciation rates and accuracy in pricing bonds. Risk premiums implied by our global affine model generate unbiased predictions for currency excess returns and are closely related to global risk aversion, the business cycle, and traditional exchange rate fundamentals. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | Exchange rates Forward bias Predictability Term structure |
| URL | https://cepr.org/publications/dp8503 |
| 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/537340 |
| 推荐引用方式 GB/T 7714 | LUCIO SARNO,Paul Schneider,Christian Wagner. DP8503 Properties of Foreign Exchange Risk Premiums. 2011. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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