| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12610 |
| DP12610 Currency Risk Factors in a Recursive Multicountry Economy | |
| Mariano Massimiliano Croce; Ric Colacito | |
| 发表日期 | 2018-01-17 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | Focusing on the ten most traded currencies, we provide empirical evidence regarding a significant heterogeneous exposure to global growth news shocks. We incorporate this empirical fact in a frictionless risk-sharing model with recursive preferences, multiple countries, and multiple consumption goods whose supply features both global and local short- and long-run shocks. Since news shocks are priced, heterogenous exposure to long-lasting global growth shocks results in a relevant reallocation of international resources and currency adjustments. Our unified framework replicates the properties of the HML-FX and HML-NFA carry-trade strategies studied by Lustig et al. (2011) and Della Corte et al. (2013). |
| 主题 | Financial Economics ; International Macroeconomics and Finance |
| URL | https://cepr.org/publications/dp12610 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/541422 |
| 推荐引用方式 GB/T 7714 | Mariano Massimiliano Croce,Ric Colacito. DP12610 Currency Risk Factors in a Recursive Multicountry Economy. 2018. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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