Countercyclical currency risk premia

• 成果类型: Article
• 署名作者: Lustig, Hanno; Roussanov, Nikolai; Verdelhan, Adrien
• 署名单位: University of California System; University of California Los Angeles; University of Pennsylvania; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2013.12.005
• 发表日期: 2014
• 页码: 527-553
• 关键词: Exchange rates; forecasting; RISK

摘要

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. (C) 2013 Elsevier B.V. All rights reserved.