| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w5623 |
| 来源ID | Working 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 |
| URL | https://www.nber.org/papers/w5623 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/563100 |
| 推荐引用方式 GB/T 7714 | David Backus,Silverio Foresi,Chris I. Telmer. Affine Models of Currency Pricing. 1996. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w5623.pdf（1833KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
