Solvency risk premia and the carry trades

被引：5

作者：

Orlov, Vitaly ^{[1
]}

机构：

[1] Univ St Gallen, Swiss Inst Banking & Finance S Bf HSG, Unterer Graben 21, CH-9000 St Gallen, Switzerland

来源：

JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY | 2019年 / 60卷

关键词：

Solvency risk; Carry trades; Risk premia; EXCHANGE-RATE; CROSS-SECTION; PESO PROBLEMS; CURRENCY; SOVEREIGN; GROWTH; DEBT; HETEROSKEDASTICITY; EFFICIENCY; RETURNS;

D O I：

10.1016/j.intfin.2018.12.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper shows that currency carry trades can be rationalized by the risk premia originating from the sovereign solvency risk. We find that solvency risk is a key determinant of risk premia in the cross section of carry trade returns, as its covariance with currency returns captures a substantial part of the cross-sectional variation of carry trade returns. Importantly, low interest rate currencies serve as insurance against solvency risk, while high interest rate currencies expose investors to more risk. The results are not attenuated by existing risks and pass a broad range of various robustness checks. (C) 2018 Elsevier B.V. All rights reserved.

引用

页码：50 / 67

页数：18

共 61 条

[1] HETEROSKEDASTICITY AND AUTOCORRELATION CONSISTENT COVARIANCE-MATRIX ESTIMATION [J].