| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w28260 |
| 来源ID | Working Paper 28260 |
| Pricing Currency Risks | |
| Mikhail Chernov; Magnus Dahlquist; Lars A. Lochstoer | |
| 发表日期 | 2020-12-28 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | The currency market features a relatively small cross-section and conditional expected returns can be characterized by only a few signals – interest differentials, trend, and mean-reversion. We exploit these properties to construct a conditional projection of the stochastic discount factor onto excess returns of individual currencies. Our approach is implementable in real time and prices all currencies and prominent strategies conditionally as well as unconditionally. We document that the fraction of unpriced risk in these assets is at least 85%. Extant explanations of carry strategies based on intermediary capital or global volatility are related to these unpriced components, while consumption growth is related to the priced component of returns. |
| 主题 | International Economics ; International Finance ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w28260 |
| 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/585933 |
| 推荐引用方式 GB/T 7714 | Mikhail Chernov,Magnus Dahlquist,Lars A. Lochstoer. Pricing Currency Risks. 2020. |
| 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 | ||
| w28260.pdf（376KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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