货币市场中协方差和价差的定价含义

IF 2.2 Q2 BUSINESS, FINANCE

Review of Asset Pricing Studies Pub Date : 2021-07-21 DOI:10.1093/rapstu/raab019

Maurer T, Tô T, Tran N, et al.

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引用次数: 0

摘要

摘要本文引入协方差和价差(即远期汇率贴现)调整后的套息因子，对外汇市场收益的横截面进行定价，这是许多其他单因素和多因素模型无法实现的。汇率增长的协方差矩阵和远期折扣都包含了定价的重要信息，这些信息没有被众所周知的因素捕捉到。时变条件协方差矩阵和远期折扣预测未来实现的货币收益。(凝胶f31、f37、g12、g15、g17)

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Pricing Implications of Covariances and Spreads in Currency Markets

Abstract

We introduce a covariance and spread (i.e., exchange rate forward discount) adjusted carry factor that prices the cross-section of FX market returns, where many other single- and multifactor models fail. Both the covariance matrix of exchange rate growths and forward discounts contain important information for pricing that is not captured by well-known factors. The time-varying conditional covariance matrix and forward discounts forecast future realized currency returns. (JEL F31, F37, G12, G15, G17)

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来源期刊

Review of Asset Pricing Studies BUSINESS, FINANCE-

CiteScore

19.80

自引率

0.80%

发文量

期刊介绍： The Review of Asset Pricing Studies (RAPS) is a journal that aims to publish high-quality research in asset pricing. It evaluates papers based on their original contribution to the understanding of asset pricing. The topics covered in RAPS include theoretical and empirical models of asset prices and returns, empirical methodology, macro-finance, financial institutions and asset prices, information and liquidity in asset markets, behavioral investment studies, asset market structure and microstructure, risk analysis, hedge funds, mutual funds, alternative investments, and other related topics. Manuscripts submitted to RAPS must be exclusive to the journal and should not have been previously published. Starting in 2020, RAPS will publish three issues per year, owing to an increasing number of high-quality submissions. The journal is indexed in EconLit, Emerging Sources Citation IndexTM, RePEc (Research Papers in Economics), and Scopus.