دانلود مقاله ISI انگلیسی شماره 51690
عنوان فارسی مقاله

پویایی بازگشت دارایی و صرف ریسک FX در یک بازار فروشندگی غیر متمرکز

کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
51690 2004 38 صفحه PDF سفارش دهید محاسبه نشده
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
Asset return dynamics and the FX risk premium in a decentralized dealer market ☆
منبع

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

Journal : European Economic Review, Volume 48, Issue 4, August 2004, Pages 747–784

کلمات کلیدی
ریزساختار FX؛ فروشنده بهینه سازی؛ عدم قطعیت انتشار؛ برابری کشف نشده
پیش نمایش مقاله
پیش نمایش مقاله پویایی بازگشت دارایی و صرف ریسک FX در یک بازار فروشندگی غیر متمرکز

چکیده انگلیسی

The paper proposes a continuous time model of an FX market organized as a multiple dealership. The dealers have costly access to best available quotes. They interpret signals from the joint dealer–customer order flow and decide upon their own quotes and trades in the inter-dealer market. Each dealer uses the observed order flow to improve the subjective estimates of relevant aggregate variables, which are the sources of uncertainty. The risk factors are returns on domestic and foreign assets and the size of the cross-border dealer transactions in the FX market. These uncertainties have diffusion form and are dealt with according to the principles of portfolio optimization in continuous time. The model is used to explain the country, or risk, premium in the uncovered national return parity equation for the exchange rate. The two country premium terms that I identify in excess of the usual covariance term (consequence of the “Jensen inequality effect”) are: the dealer heterogeneity-induced inter-dealer market order flow component and the dealer Bayesian learning component. As a result, an “order flow-adjusted total return parity” formula links the excess FX return to both the “fundamental” factors represented by the differential of the national asset returns, and the microstructural factors represented by heterogeneous dealer knowledge of the aggregate order flow and the fundamentals.

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