| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15571 |
| DP15571 Pricing Currency Risks | |
| Mikhail Chernov; Magnus Dahlquist; Lars Lochstoer | |
| 发表日期 | 2020-12-17 |
| 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 | Financial Economics ; International Macroeconomics and Finance |
| 关键词 | Currency risk premiums Stochastic discount factor Factor models |
| URL | https://cepr.org/publications/dp15571-0 |
| 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/544577 |
| 推荐引用方式 GB/T 7714 | Mikhail Chernov,Magnus Dahlquist,Lars Lochstoer. DP15571 Pricing Currency Risks. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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