G2TT
来源类型Discussion paper
规范类型论文
来源IDDP15313
DP15313 The Economics of Currency Risk
Tarek Hassan; Tony Zhang
发表日期2020-09-22
出版年2020
语种英语
摘要This article reviews the literature on currency and country risk with a focus on its macroeconomic origins and implications. A growing body of evidence shows countries with safer currencies enjoy persistently lower interest rates and a lower required return to capital. As a result, they accumulate relatively more capital than countries with currencies international investors perceive as risky. Whereas earlier research focused mainly on the role of currency risk in generating violations of uncovered interest parity and other financial anomalies, more recent evidence points to important implications for the allocation of capital across countries, the efficacy of exchange rate stabilization policies, the sustainability of trade deficits, and the spillovers of shocks across international borders.
主题Financial Economics ; International Macroeconomics and Finance ; Macroeconomics and Growth ; Monetary Economics and Fluctuations
关键词Currency risk Country risk Capital flows Uncovered interest parity Carry trade Forward premium puzzle
URLhttps://cepr.org/publications/dp15313
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/544291
推荐引用方式
GB/T 7714
Tarek Hassan,Tony Zhang. DP15313 The Economics of Currency Risk. 2020.
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