Currency Risk Premiums Redux

• 成果类型: Article
• 署名作者: Nucera, Federico; Sarno, Lucio; Zinna, Gabriele
• 署名单位: European Central Bank; Bank of Italy; University of Cambridge; Centre for Economic Policy Research - UK
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhad049
• 发表日期: 2024
• 页码: 356
• 关键词: cross-section; term structure; equilibrium; MARKETS; prices; models; number; fit

摘要

We study a large currency cross-section using asset pricing methods that account for omitted-variable and measurement-error biases. First, we show that the pricing kernel includes at least three latent factors that resemble (but are not identical to) a strong U.S. dollar factor and two weak high Sharpe ratio carry and momentum slope factors. Evidence for an additional value factor is weaker. Second, using this pricing kernel, we find that only a small fraction of the over 100 nontradable candidate factors considered have a statistically significant risk premium, mostly relating to volatility, uncertainty, and liquidity conditions, rather than macro variables. Authors have furnished an , which is available on the Oxford University Press Web site next to the link to the final published paper online.