| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w15062 |
| 来源ID | Working Paper 15062 |
| Crash Risk in Currency Markets | |
| Emmanuel Farhi; Samuel Paul Fraiberger; Xavier Gabaix; Romain Ranciere; Adrien Verdelhan | |
| 发表日期 | 2009-06-04 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | Since the fall of 2008, option smiles have been clearly asymmetric: out-of-the-money currency options point to large expected exchange rate depreciations (appreciations) for high (low) interest rate currencies, suggesting that disaster risk is priced in currency markets. To study the price of disaster risk, we propose a simple structural model that includes both Gaussian and disaster risk and can be estimated even in samples that do not contain disasters. Estimating the model over the 1996 to 2011 period using exchange rate spot, forward, and option data, we obtain a real-time index of world disaster risk premia. We find that disaster risk accounts for more than a third of currency risk premia in advanced countries over the period. |
| 主题 | Macroeconomics ; Money and Interest Rates ; International Economics ; International Finance |
| URL | https://www.nber.org/papers/w15062 |
| 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/572737 |
| 推荐引用方式 GB/T 7714 | Emmanuel Farhi,Samuel Paul Fraiberger,Xavier Gabaix,et al. Crash Risk in Currency Markets. 2009. |
| 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 | ||
| w15062.pdf（614KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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