Risk-premia, carry-trade dynamics, and economic value of currency speculation

被引：4

作者：

Wagner, Christian ^{[1
]}

机构：

[1] Vienna Univ Econ & Business, WU Wien, Vienna, Austria

来源：

JOURNAL OF INTERNATIONAL MONEY AND FINANCE | 2012年 / 31卷 / 05期

关键词：

Exchange rates; Uncovered interest parity; Risk-premia; Carry-trade; Economic value; TERM STRUCTURE MODELS; EXCHANGE-RATES; MARKETS; TESTS; COINTEGRATION; HYPOTHESES; PREDICTORS; VARIANCE; RETURNS;

D O I：

10.1016/j.jimonfin.2012.01.013

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In this paper, we derive the dynamics and assess the economic value of currency speculation by formalizing the concept of a trader inaction range. We show that exchange rate returns comprise a time-varying risk-premium and that uncovered interest parity (UIP) holds in a speculative sense. The often-cited 'forward bias puzzle' originates from the omission of the risk-premium in standard UIP tests. Consistent with its popularity among market professionals, the carry-trade strategy can be rationalized as it systematically collects risk-premia, however, the economic value generated by bilateral carry-trades is limited. (C) 2012 Elsevier Ltd. All rights reserved.

引用

页码：1195 / 1219

页数：25

共 64 条

[1]

[Anonymous], 3319 NBER

[2]

[Anonymous], INT FINANCIAL MANAGE

[3] Predictability in financial markets: What do survey expectations tell us? [J].