| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w19623 |
| 来源ID | Working Paper 19623 |
| The Term Structure of Currency Carry Trade Risk Premia | |
| Hanno Lustig; Andreas Stathopoulos; Adrien Verdelhan | |
| 发表日期 | 2013-11-07 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | Fixing the investment horizon, the returns to currency carry trades decrease as the maturity of the foreign bonds increases. The local currency term premia, which increase with the maturity, offset the currency risk premia. The time-series predictability of foreign bond returns in dollars similarly declines with the bonds' maturities. Leading no-arbitrage models in international finance cannot match the downward term structure of currency carry trade risk premia. We derive a simple preference-free condition that no-arbitrage models need to satisfy to match the carry trade risk premia on long term bonds. |
| 主题 | International Economics ; International Factor Mobility ; International Finance ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w19623 |
| 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/577298 |
| 推荐引用方式 GB/T 7714 | Hanno Lustig,Andreas Stathopoulos,Adrien Verdelhan. The Term Structure of Currency Carry Trade Risk Premia. 2013. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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