| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w16427 |
| 来源ID | Working Paper 16427 |
| Countercyclical Currency Risk Premia | |
| Hanno Lustig; Nikolai Roussanov; Adrien Verdelhan | |
| 发表日期 | 2010-09-30 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | We describe a novel currency investment strategy, the 'dollar carry trade,' which delivers large excess returns, uncorrelated with the returns on well-known carry trade strategies. Using a no-arbitrage model of exchange rates we show that these excess returns compensate U.S. investors for taking on aggregate risk by shorting the dollar in bad times, when the U.S. price of risk is high. The counter-cyclical variation in risk premia leads to strong return predictability: the average forward discount and U.S. industrial production growth rates forecast up to 25% of the dollar return variation at the one-year horizon. The estimated model implies that the variation in the exposure of U.S. investors to world-wide risk is the key driver of predictability. |
| 主题 | International Economics ; International Finance ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w16427 |
| 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/574102 |
| 推荐引用方式 GB/T 7714 | Hanno Lustig,Nikolai Roussanov,Adrien Verdelhan. Countercyclical Currency Risk Premia. 2010. |
| 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 | ||
| w16427.pdf（718KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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