کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5088613 1478318 2015 37 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Understanding the price of volatility risk in carry trades
ترجمه فارسی عنوان
درک قیمت خطر نوسان در معاملات حمل و نقل
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
This paper investigates the cross-sectional pricing ability of the short- and long-run components of global foreign exchange (FX) volatility for carry trade returns. We find a negative and statistically significant factor risk price for the long-run component, but no significant pricing effect due to the short-run volatility component. We also document that the dynamics of the long-run component of global FX volatility are related to US macroeconomic fundamentals. Our results are robust to various parametrizations of the volatility models used to obtain the volatility components and they are invariant to alternative asset pricing testing methodologies and sample periods.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 57, August 2015, Pages 118-129
نویسندگان
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