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• 영문명: A Study on the Long-Run Consumption Risk in Foreign Currency Risk Premia
• 발행기관: 한국유통과학회
• 저자명: 유원석(Won-Suk Liu) 손삼호(Sam-Ho Son)
• 간행물 정보: 『유통과학연구(JDS)』제11권 제10호, 55~62쪽, 전체 8쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2013.10.30

영문 초록

Purpose - The purpose of this study is to suggest a risk factor that significantly explains foreign currency risk premia. In recent years, some studies have found that the performance of the simultaneous consumption risk model improves considerably when tested on foreign currency portfolios, which are constructed based on the international interest rates differentials. However, this paper focuses on the long-run consumption risk factor. In our empirical research, we found that the real excess returns of high interest rate currency portfolios depreciate on average, when the future American long-run consumption growth rate appears low. This makes the high interest rate currency portfolios have relatively high risk premia. Meanwhile, the real excess returns of low interest rate currency portfolios appreciate on average, under the same conditions, which results in relatively low risk premia for these portfolios. Therefore, this long-run consumption risk factor might explain why low interest rate currencies do not appreciate as much as the interest rate differential, and why high interest rate currencies do not depreciate as much as the interest rate differential. Research design, data, methodology - In our explanation, we provide new evidence on the success of long-run consumption risks in currency risk premia by focusing on the long-run consumption risks borne by American representative investors. To uncover the hidden link between exchange rates and long-run consumption growth, we set the eight currency portfolios as our basic assets, which have been built based on the foreign interest rates of eighty countries. As these eight currency portfolios are rebalanced every year, the first group always contains the lowest interest rate currencies, and the last group contains the highest interest rate currencies. Against these basic eight currency portfolios, we estimate the long-run consumption risk model. We use recursive utility framework and the stochastic discount facto

목차

Abstract

1. 서론

2. 모형의 구성

3. 자료 및 변수

4. 추정 및 검정방법론

5. 실증분석 결과

6. 결론

References

키워드

Long-Run Consumption Risk Foreign Currency Risk Premia Uncovered Interest Rate Parity Currency Portfolio Stochastic Discount Factor