{"title":"美元与方差风险溢价失衡","authors":"Mads Markvart Kjær, Anders Merrild Posselt","doi":"10.1111/fire.12407","DOIUrl":null,"url":null,"abstract":"<p>We present a novel predictor for the Dollar factor: variance risk premia imbalances (VPI), defined as the difference in variance risk premium between the U.S. and non-U.S. countries. We argue that VPI theoretically proxies the average volatility differential between the U.S. and non-U.S. stochastic discount factors. VPI significantly predicts monthly U.S. dollar movements, explains roughly 10% of next-month Dollar factor variation, and generates significant economic value for investors. We rationalize our findings in a simple consumption-based asset pricing model.</p>","PeriodicalId":47617,"journal":{"name":"FINANCIAL REVIEW","volume":"60 1","pages":"173-200"},"PeriodicalIF":2.6000,"publicationDate":"2024-07-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/fire.12407","citationCount":"0","resultStr":"{\"title\":\"The U.S. Dollar and variance risk premia imbalances\",\"authors\":\"Mads Markvart Kjær, Anders Merrild Posselt\",\"doi\":\"10.1111/fire.12407\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<p>We present a novel predictor for the Dollar factor: variance risk premia imbalances (VPI), defined as the difference in variance risk premium between the U.S. and non-U.S. countries. We argue that VPI theoretically proxies the average volatility differential between the U.S. and non-U.S. stochastic discount factors. VPI significantly predicts monthly U.S. dollar movements, explains roughly 10% of next-month Dollar factor variation, and generates significant economic value for investors. We rationalize our findings in a simple consumption-based asset pricing model.</p>\",\"PeriodicalId\":47617,\"journal\":{\"name\":\"FINANCIAL REVIEW\",\"volume\":\"60 1\",\"pages\":\"173-200\"},\"PeriodicalIF\":2.6000,\"publicationDate\":\"2024-07-19\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://onlinelibrary.wiley.com/doi/epdf/10.1111/fire.12407\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"FINANCIAL REVIEW\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://onlinelibrary.wiley.com/doi/10.1111/fire.12407\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"FINANCIAL REVIEW","FirstCategoryId":"1085","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1111/fire.12407","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
The U.S. Dollar and variance risk premia imbalances
We present a novel predictor for the Dollar factor: variance risk premia imbalances (VPI), defined as the difference in variance risk premium between the U.S. and non-U.S. countries. We argue that VPI theoretically proxies the average volatility differential between the U.S. and non-U.S. stochastic discount factors. VPI significantly predicts monthly U.S. dollar movements, explains roughly 10% of next-month Dollar factor variation, and generates significant economic value for investors. We rationalize our findings in a simple consumption-based asset pricing model.
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