A Habit-Based Explanation of the Exchange Rate Risk Premium
A Habit-Based Explanation of the Exchange Rate Risk Premium
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基于习惯的汇率风险溢价解释
DOI：
10.1111/j.1540-6261.2009.01525.x
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发表时间：
2009
期刊：
影响因子：
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通讯作者：
Adrien Verdelhan
中科院分区：
文献类型：
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作者：
Adrien Verdelhan
本文提出了一个完全理性的一般均衡模型，产生一个随时间变化的汇率风险溢价，并解决了未覆盖利率平价（U.I.P）之谜。在这两个国家的模型中，代理人的特点是缓慢移动的外部习惯偏好类似于坎贝尔和科克伦（1999）。捐赠冲击是独立的，而真实的无风险利率是随时间变化的。代理商可以跨国家进行贸易，但当一个单位被运送时，只有一小部分货物到达外国海岸。该模型为U.I.P难题提供了一个理论基础：当国内投资者实际上比国外投资者更厌恶风险时，她会获得正的汇率风险溢价。高风险规避的时期对应于低利率。因此，当国内利率低于国外利率时，国内投资者获得正的风险溢价。该模型是模拟和估计。模拟恢复通常的负系数之间的汇率变动和利率差异。当考虑到冰山式的贸易成本时，所产生的汇率方差与其经验值相一致。使用消费数据对模型进行非线性估计，在对美国投资者的外国超额收益进行定价时，
This paper presents a fully rational general equilibrium model that produces a time-varying exchange rate risk premium and solves the uncovered interest rate parity (U.I.P) puzzle. In this two-country model, agents are characterized by slow-moving external habit preferences similar to Campbell & Cochrane (1999). Endowment shocks are i.i.d and real risk-free rates are time-varying. Agents can trade across countries, but when a unit is shipped, only a fraction of the good arrives to the foreign shore. The model gives a rationale for the U.I.P puzzle: the domestic investor receives a positive exchange rate risk premium when she is effectively more risk-averse than her foreign counterpart. Times of high risk-aversion correspond to low interest rates. Thus, the domestic investor receives a positive risk premium when interest rates are lower at home than abroad. The model is both simulated and estimated. The simulation recovers the usual negative coefficient between exchange rate variations and interest rate differentials. When the iceberg-like trade cost is taken into account, the exchange rate variance produced is in line with its empirical counterpart. A nonlinear estimation of the model using consumption data leads to reasonable parameters when pricing the foreign excess returns of an American investor