| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w14082 |
| 来源ID | Working Paper 14082 |
| Common Risk Factors in Currency Markets | |
| Hanno Lustig; Nikolai Roussanov; Adrien Verdelhan | |
| 发表日期 | 2008-06-17 |
| 出版年 | 2008 |
| 语种 | 英语 |
| 摘要 | We identify a 'slope' factor in exchange rates. High interest rate currencies load more on this slope factor than low interest rate currencies. As a result, this factor can account for most of the cross-sectional variation in average excess returns between high and low interest rate currencies. A standard, no-arbitrage model of interest rates with two factors - a country- specific factor and a global factor - can replicate these findings, provided there is sufficient heterogeneity in exposure to the global risk factor. We show that our slope factor is a global risk factor. By investing in high interest rate currencies and borrowing in low interest rate currencies, US investors load up on global risk, particularly during bad times. |
| 主题 | International Economics ; International Finance ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w14082 |
| 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/571754 |
| 推荐引用方式 GB/T 7714 | Hanno Lustig,Nikolai Roussanov,Adrien Verdelhan. Common Risk Factors in Currency Markets. 2008. |
| 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 | ||
| w14082.pdf（607KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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