| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12893 |
| DP12893 Multihorizon Currency Returns and Purchasing Power Parity | |
| Mikhail Chernov; Drew Creal | |
| 发表日期 | 2018-04-25 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | Exposures of expected future depreciation rates to the current interest rate differential violate the UIP hypothesis in a distinctive pattern that is a non-monotonic function of horizon. Conversely, forward, risk-adjusted expected depreciation rates are monotonic. We explain the two patterns by incorporating the weak form of PPP into a no-arbitrage joint model of the depreciation rate, inflation differential, domestic and foreign yield curves. Short-term departures from PPP generate the first pattern. The risk premiums for these departures generate the second pattern. |
| 主题 | Financial Economics ; International Macroeconomics and Finance |
| 关键词 | Uncovered interest parity Purchasing power parity Cointegration Multiple horizons Affine term structure model |
| URL | https://cepr.org/publications/dp12893-0 |
| 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/541705 |
| 推荐引用方式 GB/T 7714 | Mikhail Chernov,Drew Creal. DP12893 Multihorizon Currency Returns and Purchasing Power Parity. 2018. |
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