کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
960033 929402 2014 27 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Countercyclical currency risk premia
ترجمه فارسی عنوان
ریسک نرخ ارز ضد سایکلی
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری حسابداری
چکیده انگلیسی

We describe a novel currency investment strategy, the ‘dollar carry trade,’ which delivers large excess returns, uncorrelated with the returns on well-known carry trade strategies. Using a no-arbitrage model of exchange rates we show that these excess returns compensate U.S. investors for taking on aggregate risk by shorting the dollar in bad times, when the U.S. price of risk is high. The countercyclical variation in risk premia leads to strong return predictability: the average forward discount and U.S. industrial production growth rates forecast up to 25% of the dollar return variation at the one-year horizon. The estimated model implies that the variation in the exposure of U.S. investors to worldwide risk is the key driver of predictability.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Economics - Volume 111, Issue 3, March 2014, Pages 527–553
نویسندگان
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