全球智库信息集成服务系统(G2TT): Multihorizon Currency Returns and Purchasing Power Parity

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w24563
来源ID	Working Paper 24563
	Multihorizon Currency Returns and Purchasing Power Parity
	Mikhail Chernov; Drew D. Creal
发表日期	2018-04-30
出版年	2018
语种	英语
摘要	Exposures of expected future depreciation rates to the current interest rate differential violate the UIP hypothesis in a distinctive pattern that is a non-monotonic function of horizon. Conversely, forward, or risk-adjusted expected depreciation rates are monotonic. We explain the two patterns jointly by incorporating the weak form of PPP, aka stationarity of the real exchange rate, into a joint model of the stochastic discount factor, the nominal exchange rate, inflation differential, domestic and foreign yield curves. Short-term departures from PPP generate the first pattern. The risk premiums for these departures generate the second pattern. Thus, the variance of the stochastic discount factor must be related to the real exchange rate deepening the exchange rate disconnect.
主题	International Economics ; International Finance ; International Macroeconomics ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets
URL	https://www.nber.org/papers/w24563
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/582236
推荐引用方式 GB/T 7714	Mikhail Chernov,Drew D. Creal. Multihorizon Currency Returns and Purchasing Power Parity. 2018.

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
w24563.pdf（802KB）	智库出版物		限制开放	CC BY-NC-SA	浏览