| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP16058 |
| DP16058 Exchange Rates and Sovereign Risk | |
| Pasquale Della Corte; LUCIO SARNO; Maik Schmeling; Christian Wagner | |
| 发表日期 | 2021-04-20 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | An increase in a country's sovereign risk, as measured by credit default swap spreads, is accompanied by a contemporaneous depreciation of its currency and an increase of its volatility. The relation between currency excess returns and sovereign risk is mainly driven by default expectations (rather than distress risk premia) and exposure to global sovereign risk shocks, and also emerges in a predictive setting for currency risk premia. We show that a sovereign risk factor is priced in the cross-section of currency returns and that it is not subsumed by the carry factor. |
| 主题 | Financial Economics ; International Macroeconomics and Finance |
| 关键词 | Exchange rates Currency risk premium Currency options Sovereign risk Cds spreads |
| URL | https://cepr.org/publications/dp16058 |
| 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/545037 |
| 推荐引用方式 GB/T 7714 | Pasquale Della Corte,LUCIO SARNO,Maik Schmeling,et al. DP16058 Exchange Rates and Sovereign Risk. 2021. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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