全球智库信息集成服务系统(G2TT): International Yield Curves and Currency Puzzles

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w25206
来源ID	Working Paper 25206
	International Yield Curves and Currency Puzzles
	Mikhail Chernov; Drew D. Creal
发表日期	2018-11-05
出版年	2018
语种	英语
摘要	The currency depreciation rate is often computed as the ratio of foreign to domestic pricing kernels. Using bond prices alone to estimate these kernels leads to currency puzzles: the inability of models to match violations of uncovered interest parity and the volatility of exchange rates. This happens because of the FX bond disconnect, the inability of bonds to span exchange rates. Incorporating innovations to the pricing kernel that affect exchange rates but not bonds helps with resolving the puzzles. This approach also allows one to relate news about the cross-country differences between international yields to news about currency risk premiums.
主题	International Economics ; International Finance ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets
URL	https://www.nber.org/papers/w25206
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/582880
推荐引用方式 GB/T 7714	Mikhail Chernov,Drew D. Creal. International Yield Curves and Currency Puzzles. 2018.