دانلود مقاله ISI انگلیسی شماره 106418
ترجمه فارسی عنوان مقاله

ریسک مصرف منظم در بازده ارز

عنوان انگلیسی
Systematic consumption risk in currency returns
کد مقاله سال انتشار تعداد صفحات مقاله انگلیسی
106418 2017 82 صفحه PDF
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Journal of International Money and Finance, Volume 74, June 2017, Pages 187-208

پیش نمایش مقاله
پیش نمایش مقاله  ریسک مصرف منظم در بازده ارز

چکیده انگلیسی

We sort currencies into portfolios by countries’ past consumption growth. The excess return of the highest- over the lowest-consumption-growth portfolio – our consumption carry factor – compensates for negative returns during world-wide downturns and prices the cross-section of portfolio-sorted and of bilateral currency returns. Empirically, sorting currencies on consumption growth is very similar to sorting currencies on interest rates. We interpret these stylized facts in a habit formation model: sorting currencies on past consumption growth approximates sorting on risk aversion. Low (high) risk-aversion currencies have high (low) interest rates and depreciate (appreciate) in times of global turmoil.