کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
963705 930399 2007 26 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Fed intervention, dollar appreciation, and systematic risk
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Fed intervention, dollar appreciation, and systematic risk
چکیده انگلیسی
In a four-factor asset-pricing model estimated on daily data, Fed intervention significantly affects betas of surprises in the market return, expected inflation rate, yield curve, and corporate-bond risk premium. Fed foreign-currency sales cause economically and statistically significant increases in the systematic risk premium in appreciation and thus in the dollar's expected appreciation rate, the direction the Fed desires, and consistent with the signaling but not the portfolio balance channel. Intervention's effects on actual appreciation are less reliable; they depend on unpredictable risk-factor realizations. Even successful intervention to strengthen the dollar may be costly; by increasing the dollar's systematic risk, intervention reduces the attractiveness of U.S. relative to foreign investments. Further, uncertainty about future Fed interventions may induce resource misallocation: ceteris paribus, investors find it harder to estimate risk-adjusted discount rates and forecast the home-currency value of cash flows.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Money and Finance - Volume 26, Issue 2, March 2007, Pages 167-192
نویسندگان
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