Trade Network Centrality and Currency Risk Premia

• 成果类型: Article
• 署名作者: Richmond, Robert J.
• 署名单位: New York University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12755
• 发表日期: 2019
• 页码: 1315-1361
• 关键词: exchange-rates; business-cycle; long-run; equilibrium; MODEL; predictability; consumption; explanation; MARKETS; shocks

摘要

I uncover an economic source of exposure to global risk that drives international asset prices. Countries that are more central in the global trade network have lower interest rates and currency risk premia. To explain these findings, I present a general equilibrium model in which central countries' consumption growth is more exposed to global consumption growth shocks. This causes the currencies of central countries to appreciate in bad times, resulting in lower interest rates and currency risk premia. Empirically, central countries' consumption growth covaries more with world consumption growth, further validating the proposed mechanism.