Rare Disasters and Exchange Rates

罕见的灾难和汇率，提案编号0820517，作者Emmanuel Farhi（哈佛和NBER）和Xavier Gabaix（纽约大学和NBER） 这个建议包含了一个新的汇率模型，它提供了一个解决远期溢价之谜。这个难题是由于投资于高利率货币（“套利交易”）的收益远远高于低利率货币的潜在风险差异。这种解释结合了两个因素：罕见的经济灾难的可能性，以及汇率的资产观点。 该模型是无摩擦的，具有完整的市场，适用于任意数量的国家，并以封闭形式导出汇率，股票和债券的价值。在该模型中，罕见的全球性灾害可能发生，并影响每个国家的生产力。根据均值回归过程，每个国家的灾害风险敞口随时间而变化。高风险国家要求高风险溢价：它们以贬值的汇率和高利率为特征。当他们的风险溢价均值恢复时，他们的汇率就会升值。因此，高利率国家的货币平均升值。 为了使灾害风险的概念更易于实施，这些建议显示了期权价格如何在原则上揭示潜在的灾害风险，并有助于预测汇率变动。 模型的校准产生的汇率波动，以前意外的回归系数的迹象，和近随机游走汇率动态定量现实的价值。该项目具有以下显著特点。 (i)它很容易产生数据的两个核心特征，即汇率的“过度波动”和“远期溢价之谜”。" (ii)该模型有一个新的分析结构，基于罕见灾害的想法，和新开发的“线性生成过程”类。“这使得模型非常容易处理：汇率，股票和债券价格可以在无摩擦的设置中以精确的封闭形式获得。该框架可以作为国际宏观经济学的一个新的多用途模型。 (iii)该模型做出了新的可检验的预测：具有高崩溃溢价的货币随后应该升值。此外，该模型还对各国汇率、债券、期权和股票价格的联合行为做出了一系列预测。 拟议中的研究提供了一种了解汇率挂钩影响的方法。这一点尤其重要，因为很大一部分新兴国家（例如，中国）盯住他们的货币。为了分析钉住汇率制，我们需要一个模型，在没有钉住汇率制的情况下产生波动的汇率，就像这里提供的模型一样。最后，项目理论描述了如何在资产价格中发现重大灾难的潜在重要性。

Rare Disasters and Exchange Rates, Proposal Number 0820517by Emmanuel Farhi (Harvard and NBER) and Xavier Gabaix (NYU and NBER) This proposal contains a new model of exchange rates which offers a solution of the forward premium puzzle. The puzzle is due to investing in high interest rate currencies (the "carry trade") yielding much more than warranted by the underlying risk differential with low-interest currencies. The explanation combines two ingredients: the possibility of rare economic disasters, and an asset view of the exchange rate. The model is frictionless, has complete markets, works for an arbitrary number of countries, and derives in closed form the values of exchange rates, stocks, and bonds. In the model, rare worldwide disasters can occur and affect each country's productivity. Each country's exposure to disaster risk varies over time according to a mean-reverting process. Risky countries command high risk premia: they feature a depreciated exchange rate and a high interest rate. As their risk premium mean reverts, their exchange rate appreciates. Therefore, currencies of high interest rate countries appreciate on average. To make the notion of disaster risk more implementable, the proposals shows how options prices can in principle uncover latent disaster risk, and help forecast exchange rate movements. Calibration of the model yields quantitatively realistic values for the volatility of the exchange rate, the formerly unexpected sign of the regression coefficients, and near-random walk exchange rate dynamics. The project has the following distinctive features. (i) It generates easily two central features of the data, namely "excess volatility" of exchange rates, and the (solution to the) "forward premium puzzle." (ii) The model has a novel analytical structure, based on the ideas of rare disasters, and the newly-developed class of "linearity-generating processes." This makes the model very tractable: Exchange rates, stocks and bonds prices can be obtained from it in exact closed forms in a frictionless setup. The framework can serve as a new multi-purpose model for international macroeconomics. (iii) The model makes new testable predictions: Currencies with high crash premiums should subsequently appreciate. In addition, the model yields a series of predictions about the joint behavior of exchange rates and the prices of bonds, options and stocks across countries. The proposed research offers a way to understand the impact of exchange rate pegging. This is particularly relevant, as a large fraction of emerging countries (e.g., China) do peg their currency. To analyze pegs, one needs a model that generates a volatile exchange rate in absence of a peg like the model here provided.Last not least, the projects theory delineates how the latent importance of large disasters can be detected in asset prices.