Term Structure of Consumption Risk Premia in the Cross Section of Currency Returns

• 成果类型: Article
• 署名作者: Zviadadze, Irina
• 署名单位: Stockholm School of Economics
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12501
• 发表日期: 2017
• 页码: 1529-1566
• 关键词: long-run; exchange-rates; asset returns; empirical-evidence; temporal behavior; structure models; monetary-policy; explanation; prices; uncertainty

摘要

I relate the downward-sloping term structure of currency carry returns to compensation for currency exposures to macroeconomic risk embedded in the joint dynamics of U.S. consumption, inflation, nominal interest rate, and their stochastic variance. The interest rate and inflation shocks play a prominent role. Higher yield currencies exhibit higher multiperiod exposures to these shocks. The prices of these risk exposures are positive and sizeable across all investment horizons. The interest rate shock is qualitatively similar to the long-run risk of Bansal and Yaron.