دانلود رایگان مقاله تاثیر دارایی خالص خارجی بر پایداری صرف ریسک متغیر زمان

عنوان فارسی
تاثیر دارایی های خالص خارجی بر پایداری صرف ریسک متغیر زمان: شواهدی از نرخ ارز یورو
عنوان انگلیسی
Effect of net foreign assets on persistency of time-varying risk premium: Evidence from the Dollar-Yen exchange rate
صفحات مقاله فارسی
0
صفحات مقاله انگلیسی
31
سال انتشار
2017
نشریه
الزویر - Elsevier
فرمت مقاله انگلیسی
PDF
کد محصول
E5265
رشته های مرتبط با این مقاله
علوم اقتصادی
گرایش های مرتبط با این مقاله
اقتصاد پولی
مجله
بررسی بین المللی اقتصاد و امور مالی - International Review of Economics & Finance
دانشگاه
Tokyo International University - Japan
کلمات کلیدی
نرخ بازپرداخت بدون مالیات، صرف ریسک متغیر زمان، نرخ اسمی مبادله اسمی، مانده حساب جاری
چکیده

Abstract


In this paper, I focus on the time-varying and persistent exchange rate risk premiums in uncovered interest rate parity associated with changes in net foreign assets. The results of my analyses of the Dollar-Yen exchange rate provide evidence consistent with my risk premium formulation and the predictability of current account balances. I contend that the strong persistent effect causes nominal exchange rates to appear non-stationary in level. I also argue that the present value model of the level of exchange rates combined with the AR(1) approximation for interest rate differentials can reconcile a failure of uncovered interest rate parity.

نتیجه گیری

4. Summary and Concluding Remarks


In this paper, I discussed the mechanism through which net foreign asset holdings affect exchange rates from the standpoint of asset pricing without explicitly using intertemporal budget constraints. Because risk premiums are the central issue in the current research on asset pricing, I have focused on the time-varying and persistent exchange rate risk premium related to uncovered interest rate parity. To do so, I have argued that spot exchange rate risk premiums vary through changes in net foreign asset holdings and, especially, increase with the accumulation of net foreign asset holdings. In the case of an infinitely long horizon, especially under the stationarity assumption, the uncovered interest rate parity equation is equivalent to a present value model of the level of exchange rates. My empirical results provide evidence consistent with my formulation of the time-varying and persistent risk premiums associated with changes in net foreign assets. The results also suggest that, in the longer-horizon case, the Japanese current account balance predicts the Dollar-Yen exchange rate level. While academics agree that nominal exchange rates are non-stationary in level generally, I argue that the strong persistent effect associated with changes in net foreign asset holdings causes exchange rates to appear non-stationary in level.


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