| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13252 |
| DP13252 International yield curves and currency puzzles | |
| Mikhail Chernov; Drew Creal | |
| 发表日期 | 2022-02-18 |
| 出版年 | 2022 |
| 语种 | 英语 |
| 摘要 | The currency depreciation rate is often computed as the ratio of foreign to domestic pricing kernels. Using bond prices alone to estimate these kernels leads to currency puzzles: the inability of models to match violations of uncovered interest parity and the volatility of exchange rates. This happens because of the FX bond disconnect, the inability of bonds to span exchange rates. Incorporating innovations to the pricing kernel that affect exchange rates but not bonds helps with resolving the puzzles. This approach also allows one to relate news about the cross-country differences between international yields to news about currency risk premiums. |
| 主题 | Financial Economics ; International Macroeconomics and Finance |
| 关键词 | Exchange rates Bond valuation Fx disconnect Affine models |
| URL | https://cepr.org/publications/dp13252-3 |
| 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/546004 |
| 推荐引用方式 GB/T 7714 | Mikhail Chernov,Drew Creal. DP13252 International yield curves and currency puzzles. 2022. |
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