| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP10214 |
| DP10214 Switching Risk Off: FX Correlations and Risk Premia | |
| Alessandro Beber; Michael Brandt | |
| 发表日期 | 2014-10-19 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | Risk-off refers to a change in risk preferences and the associated portfolio rebalancing. We identify these episodes using the switch to a polarized correlation regime of foreign-exchange returns. These risk-off transitions are relatively infrequent but noticeably increasing over time, are persistent and associated with geopolitical events, and seem unrelated to changes in macroeconomic fundamentals and to volatility or average correlation shocks. Risk-off switches have very significant effects on the returns of a large number of asset classes and trading strategies, with risky and safe asset returns being penalized and favored, respectively. This evidence is consistent with a price pressure story induced by portfolio rebalancing, as we document that risk-off transitions are associated with significant changes in the positions of professional investors across different futures markets. |
| 主题 | Financial Economics |
| 关键词 | Fx correlation Risk-off Currency risk premia |
| URL | https://cepr.org/publications/dp10214 |
| 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/539047 |
| 推荐引用方式 GB/T 7714 | Alessandro Beber,Michael Brandt. DP10214 Switching Risk Off: FX Correlations and Risk Premia. 2014. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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