Nontraded Sector Growth Risks and Economic Sizes in International Asset Pricing

• 成果类型: Article
• 署名作者: To, Thuy-Duong; Tran, Ngoc-Khanh
• 署名单位: University of New South Wales Sydney; Virginia Polytechnic Institute & State University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2022.03697
• 发表日期: 2024
• 关键词: nontraded output risks; Exchange rates; Currency returns; Interest rates

摘要

Output fluctuations in nontraded sectors are an important country-specific risk factor because nontraded outputs are only consumed domestically. In interest rate markets, countries with higher nontraded output growth risks are associated with stronger motives for precautionary savings and lower interest rates. In currency markets, strategies with higher exposures to nontraded output growth risks offer higher average excess returns. Economic sizes play an important role in exacerbating the pricing impact of nontraded output growth risks as it requires larger international trades to mitigate nontraded output risks of larger economies. However, because economic sizes are functions of outputs in equilibrium, output growth risks also explain this role of economic sizes in international asset pricing.