1 option
Pricing Currency Risks / Mikhail Chernov, Magnus Dahlquist, Lars A. Lochstoer.
- Format:
- Book
- Author/Creator:
- Chernov, Mikhail.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w28260.
- NBER working paper series no. w28260
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2020.
- Summary:
- The currency market features a relatively small cross-section and conditional expected returns can be characterized by only a few signals - interest differentials, trend, and mean-reversion. We exploit these properties to construct a conditional projection of the stochastic discount factor onto excess returns of individual currencies. Our approach is implementable in real time and prices all currencies and prominent strategies conditionally as well as unconditionally. We document that the fraction of unpriced risk in these assets is at least 85%. Extant explanations of carry strategies based on intermediary capital or global volatility are related to these unpriced components, while consumption growth is related to the priced component of returns.
- Notes:
- Print version record
- December 2020.
The Penn Libraries is committed to describing library materials using current, accurate, and responsible language. If you discover outdated or inaccurate language, please fill out this feedback form to report it and suggest alternative language.