| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8745 |
| DP8745 Sources of Risk in Currency Returns | |
| Mikhail Chernov; Irina Zviadadze | |
| 发表日期 | 2012 |
| 出版年 | 2012 |
| 语种 | 英语 |
| 摘要 | We quantify the sources of risk in currency returns as a first step toward understanding the returns reported for the carry trade. To do this, we develop and estimate an empirical model of exchange rate dynamics using daily data for four currencies relative to the US dollar: the Australian dollar, the British pound, the Swiss franc, and the Japanese yen. The model includes (i) Gaussian shocks with stochastic variance, (ii) jumps up and down in the exchange rate, and (iii) jumps in the variance. We identify these components using data on exchange rates and at-the-money implied variances. We find that the probability of a jump depreciation (appreciation) in the exchange rate is increasing in the domestic (foreign) interest rate. The probability of jumps in variance is increasing in the variance but not related to interest rates. Many of the jumps in exchange rates are associated with macroeconomic and political news, but jumps in variance are not. Overall, jumps account for 25% of total currency risk over horizons of one to three months. |
| 主题 | Financial Economics |
| 关键词 | Bayesian mcmc Carry trades Exchange rates Implied volatility Jumps |
| URL | https://cepr.org/publications/dp8745 |
| 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/537581 |
| 推荐引用方式 GB/T 7714 | Mikhail Chernov,Irina Zviadadze. DP8745 Sources of Risk in Currency Returns. 2012. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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