Properties of Foreign Exchange Risk Premiums
Properties of Foreign Exchange Risk Premiums
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DOI：
10.1016/j.jfineco.2012.01.005
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发表时间：
2011-07
期刊：
影响因子：
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通讯作者：
Lucio Sarno;P. Schneider;C. Wagner
中科院分区：
文献类型：
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作者：
Lucio Sarno;P. Schneider;C. Wagner
我们研究了外汇风险溢价的性质，可以解释远期偏差之谜，定义为高利率货币升值而不是贬值的趋势。这些风险溢价内生于与利率和汇率的期限结构相关的无套利条件。估计仿射（多货币）期限结构模型揭示了一个值得注意的权衡匹配贬值率和准确性定价债券。我们的全球仿射模型所隐含的风险溢价生成了对货币超额收益的无偏预测，并与全球风险厌恶、商业周期和传统汇率基本面密切相关。
We study the properties of foreign exchange risk premiums that can explain the forward bias puzzle, defined as the tendency of high-interest rate currencies to appreciate rather than depreciate. These risk premiums arise endogenously from the no-arbitrage condition relating the term structure of interest rates and exchange rates. Estimating affine (multi-currency) term structure models reveals a noticeable tradeoff between matching depreciation rates and accuracy in pricing bonds. Risk premiums implied by our global affine model generate unbiased predictions for currency excess returns and are closely related to global risk aversion, the business cycle, and traditional exchange rate fundamentals.