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来源类型Working Paper
规范类型报告
DOI10.3386/w5623
来源IDWorking Paper 5623
Affine Models of Currency Pricing
David Backus; Silverio Foresi; Chris I. Telmer
发表日期1996-06-01
出版年1996
语种英语
摘要Perhaps the most puzzling feature of currency prices is the tendency for high interest rate currencies to appreciate, when the expectations hypothesis suggests the reverse. Some have attributed this forward premium anomaly to a time-varying risk premium, but theory has been largely unsuccessful in producing a risk premium with the requisite properties. We characterize the risk premium in a general arbitrage-free setting and describe the features a theory must have to account for the anomaly. In affine models, the anomaly requires either that state variables have asymmetric effects on state prices in different currencies or that we abandon the common requirement that interest rates be strictly positive.
主题International Economics ; International Finance ; Financial Economics ; Portfolio Selection and Asset Pricing
URLhttps://www.nber.org/papers/w5623
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/563100
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GB/T 7714
David Backus,Silverio Foresi,Chris I. Telmer. Affine Models of Currency Pricing. 1996.
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