Currency returns and systematic risk

IF 0.7 4区经济学 Q3 ECONOMICS

Manchester School Pub Date : 2022-07-02 DOI:10.1111/manc.12416

Fernanda Gonçalves, Giuliano Ferreira, Alex Ferreira, Pedro Scatimburgo

引用次数: 1

Abstract

We investigate the relationship between currency excess returns and Gross Domestic Product (GDP) in a Consumption Capital Asset Pricing Model. GDPs are observable systematic risk factors in our asset pricing equations. The correlation between the unobservable systematic factors is explored by Seemingly Unrelated Regressions estimations. The sample comprises the period from 1999:M01 to 2019:M12 and 48 countries. Results show that GDP growth risk is significant for most currency pairs and portfolios. We also find that they are priced in the cross-section of excess returns. Furthermore, currency returns are directly affected by regional business cycles (Europe, America, and Asia).

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货币回报和系统性风险

我们在消费资本资产定价模型中研究了货币超额收益与国内生产总值(GDP)之间的关系。在我们的资产定价方程中，gdp是可观察到的系统性风险因素。不可观测的系统因素之间的相关性通过看似不相关的回归估计来探讨。样本包括1999年01月至2019年12月和48个国家。结果表明，GDP增长风险对大多数货币对和投资组合都是显著的。我们还发现它们在超额收益的横截面上定价。此外，货币回报直接受到区域经济周期(欧洲、美洲和亚洲)的影响。

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

Manchester School ECONOMICS-

CiteScore

1.80

自引率

9.10%

发文量

期刊介绍： The Manchester School was first published more than seventy years ago and has become a distinguished, internationally recognised, general economics journal. The Manchester School publishes high-quality research covering all areas of the economics discipline, although the editors particularly encourage original contributions, or authoritative surveys, in the fields of microeconomics (including industrial organisation and game theory), macroeconomics, econometrics (both theory and applied) and labour economics.