Risk and return in the foreign exchange market: Measurement without VARs

IF 1.3 4区经济学 Q3 BUSINESS, FINANCE

International Finance Pub Date : 2022-09-16 DOI:10.1111/infi.12422

Shaowen Luo

引用次数: 0

Abstract

This paper offers a detailed investigation of the foreign-exchange risk premium using a structural relationship in the inflation-index bond market, first introduced by Clarida. Unlike the conventional vector autoregressive (VAR) approach, this approach estimates risk premium through the non-arbitrage relationship between investing in inflation-indexed bonds from two countries and works in the market information set. A rise in the estimated foreign-currency risk premium helps to forecast dollar depreciation in subsequent periods. And the forecasting power is stronger than that of the other existing VAR approaches.

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外汇市场的风险和回报：无VAR的衡量

本文利用Clarida首次提出的通货膨胀指数债券市场的结构关系对外汇风险溢价进行了详细的研究。与传统的向量自回归（VAR）方法不同，该方法通过投资两个国家的通胀指数债券之间的非套利关系来估计风险溢价，并在市场信息集中发挥作用。预计外汇风险溢价的上升有助于预测美元在随后时期的贬值。并且预测能力比其他现有的VAR方法更强。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

International Finance Multiple-

CiteScore

2.50

自引率

8.30%

发文量

期刊介绍： International Finance is a highly selective ISI-accredited journal featuring literate and policy-relevant analysis in macroeconomics and finance. Specific areas of focus include: · Exchange rates · Monetary policy · Political economy · Financial markets · Corporate finance The journal''s readership extends well beyond academia into national treasuries and corporate treasuries, central banks and investment banks, and major international organizations. International Finance publishes lucid, policy-relevant writing in macroeconomics and finance backed by rigorous theory and empirical analysis. In addition to the core double-refereed articles, the journal publishes non-refereed themed book reviews by invited authors and commentary pieces by major policy figures. The editor delivers the vast majority of first-round decisions within three months.