کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
960558 929497 2008 25 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری حسابداری
پیش نمایش صفحه اول مقاله
Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies
چکیده انگلیسی

We develop models of stochastic discount factors in international economies that produce stochastic risk premiums and stochastic skewness in currency options. We estimate the models using time-series returns and option prices on three currency pairs that form a triangular relation. Estimation shows that the average risk premium in Japan is larger than that in the US or the UK, the global risk premium is more persistent and volatile than the country-specific risk premiums, and investors respond differently to different shocks. We also identify high-frequency jumps in each economy but find that only downside jumps are priced. Finally, our analysis shows that the risk premiums are economically compatible with movements in stock and bond market fundamentals.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Economics - Volume 87, Issue 1, January 2008, Pages 132–156
نویسندگان
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