| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9549 |
| DP9549 Volatility Risk Premia and Exchange Rate Predictability | |
| LUCIO SARNO; Pasquale Della Corte | |
| 发表日期 | 2013-07-07 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | We investigate the predictive information content in foreign exchange volatility risk premia for exchange rate returns. The volatility risk premium is the difference between realized volatility and a model-free measure of expected volatility that is derived from currency options, and reflects the cost of insurance against volatility ?fluctuations in the underlying currency. We find that a portfolio that sells currencies with high insurance costs and buys currencies with low insurance costs generates sizeable out-of-sample returns and Sharpe ratios. These returns are almost entirely obtained via predictability of spot exchange rates rather than interest rate differentials, and these predictable spot returns are far stronger than those from carry trade and momentum strategies. Canonical risk factors cannot price the returns from this strategy, which can be understood, however, in terms of a simple mechanism with time-varying limits to arbitrage. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | exchange rate Hedgers Order flow Predictability Speculators Volatility risk premium |
| URL | https://cepr.org/publications/dp9549 |
| 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/538385 |
| 推荐引用方式 GB/T 7714 | LUCIO SARNO,Pasquale Della Corte. DP9549 Volatility Risk Premia and Exchange Rate Predictability. 2013. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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