Currency Risk Factors in a Recursive Multicountry Economy

• 成果类型: Article
• 署名作者: Colacito, Ric; Croce, Mariano M.; Gavazzoni, Federico; Ready, Robert
• 署名单位: University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine; National Bureau of Economic Research; Bocconi University; Center for Economic & Policy Research (CEPR); University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine; INSEAD Business School; University of Oregon
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12720
• 发表日期: 2018
• 页码: 2719-2756
• 关键词: real exchange-rates; long-run; rare disasters; asset prices; consumption; MODEL; explanation; DYNAMICS; MARKETS; puzzles

摘要

Focusing on the 10 most traded currencies, we provide empirical evidence regarding a significant heterogeneous exposure to global growth news shocks. We incorporate this empirical fact in a frictionless risk-sharing model with recursive preferences, multiple countries, and multiple consumption goods whose supply features both global and local short- and long-run shocks. Since news shocks are priced, heterogeneous exposure to long-lasting global growth shocks results in a relevant reallocation of international resources and currency adjustments. Our unified framework replicates the properties of the HML-FX and HML-NFA carry-trade strategies studied by Lustig, Roussanov, and Verdelhan and Della Corte, Riddiough, and Sarno.