| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP11129 |
| DP11129 Currency Premia and Global Imbalances | |
| [unavailable] | |
| 发表日期 | 2016-02-22 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | We show that a global imbalance risk factor that captures the spread in countriesexternal imbalances and their propensity to issue external liabilities in foreign currency explains the cross-sectional variation in currency excess returns. The economic intuition is simple: net debtor countries offer a currency risk premium to compensate investors willing to finance negative external imbalances because their currencies depreciate in bad times. This mechanism is consistent with exchange rate theory based on capital flows in imperfect financial markets. We also find that the global imbalance factor is priced in cross sections of other major asset markets. |
| 主题 | Financial Economics ; International Macroeconomics and Finance |
| 关键词 | Currency risk premium Global imbalances Foreign exchange excess returns Carry trade |
| URL | https://cepr.org/publications/dp11129 |
| 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/539946 |
| 推荐引用方式 GB/T 7714 | [unavailable]. DP11129 Currency Premia and Global Imbalances. 2016. |
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