Variance risk premiums and the forward premium puzzle

• 成果类型: Article
• 署名作者: Londono, Juan M.; Zhou, Hao
• 署名单位: Federal Reserve System - USA; Federal Reserve System Board of Governors; Tsinghua University; Tsinghua University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2017.02.002
• 发表日期: 2017
• 页码: 415-440
• 关键词: Currency return predictability; Currency and stock variance risk premiums; Forward premium puzzle; Local consumption uncertainty; Global inflation uncertainty

摘要

We provide new empirical evidence that world currency and U.S. stock variance risk premiums have nonredundant and significant predictive power for the appreciation rates of 22 with respect to the U.S. dollar, especially at the four-month and one-month horizons, respectively. The heterogeneous exposures of currencies to the currency variance risk premium are systematically rising along the line of inflation risk. We rationalize these findings in a consumption-based asset pricing model, with local consumption uncertainty and global inflation uncertainty characterized, respectively, by the stock and currency variance risk premiums. Published by Elsevier B.V.