注册 投稿
经济金融网 中国经济学教育科研网 中国经济学年会 EFN通讯社

RARE DISASTERS AND EXCHANGE RATES

文件大小:未知

级别评定:★★★★★

添加时间:2016-01-01 10:42:49

最后更新:2016-01-01 11:49:26

下载积分:0分 (只有会员文件下载时才需要相应积分验证)

总浏览:

总下载:5

发布人:george15135

  • 如果您发现该资源不能下载,请在本站论坛提出,管理员会及时处理。
  • 未经本站明确许可,任何网站不得非法盗链及抄袭本站资源。
  • 本站资源均为网友提供交流,仅供教学、研究使用,请下载后24小时内自行删除。
    0
资源简介
"Rare Disasters and Exchange Rates",Xavier Gabaix with Emmanuel Farhi, Quarterly Journal of Economics, forthcoming. 
    A rare disasters model accounts for many puzzling features of the joint fluctuations in exchange rates, interest rates, options, and stock markets.
 
 
 
 
 
RARE DISASTERS AND EXCHANGE RATES
 
Emmanuel Farhi
Harvard, CEPR and NBER
Xavier Gabaix
NYU, CEPR and NBER
August 27, 2015
 
Forthcoming in the Quarterly Journal of Economics
 
Abstract
 
We propose a new model of exchange rates, based on the hypothesis that the possibility of rare but extreme disasters is an important determinant of risk premia in asset markets. The probability of world disasters as well as each country’s exposure to these events is time-varying. This creates joint fluctuations in exchange rates, interest rates, options,and stock markets. The model accounts for a series of major puzzles in exchange rates:excess volatility and exchange rate disconnect, forward premium puzzle and large excess returns of the carry trade, and comovements between stocks and exchange rates. It also makes empirically successful signature predictions regarding the link between exchange rates and telltale signs of disaster risk in currency options.
 
JEL codes: G12, G15.
资源评论

快速入口
回到顶部
深圳网站建设