| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP10334 |
| DP10334 Rare Disasters and Exchange Rates | |
| Xavier Gabaix; Emmanuel Farhi | |
| 发表日期 | 2015-01-11 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | We propose a new model of exchange rates, based on the hypothesis that the possibility of rare but extreme disasters is an important determinant of risk premia in asset markets. The probability of world disasters as well as each country's exposure to these events is time-varying. This creates joint fluctuations in exchange rates, interest rates, options, and stock markets. The model accounts for a series of major puzzles in exchange rates: excess volatility and exchange rate disconnect, forward premium puzzle and large excess returns of the carry trade, and comovements between stocks and exchange rates. It also makes empirically successful signature predictions regarding the link between exchange rates and telltale signs of disaster risk in currency options. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | Disaster risk Forward premium puzzle International macro-finance puzzles Risk-reversals Uncovered interest rate parity |
| URL | https://cepr.org/publications/dp10334 |
| 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/539165 |
| 推荐引用方式 GB/T 7714 | Xavier Gabaix,Emmanuel Farhi. DP10334 Rare Disasters and Exchange Rates. 2015. |
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