G2TT
来源类型Discussion paper
规范类型论文
来源IDDP13252
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
URLhttps://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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