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外汇风险溢酬与宏观经济波动：基于随机贴现因子的研究框架 被引量：4

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摘要 本文利用随机贴现因子框架探讨了外汇风险溢酬与宏观经济波动的关系。本文的理论推导证明,外汇风险溢酬取决于两国的经济波动与两国经济波动的相关程度。本文的经验研究表明:当两国经济平稳,且两国经济波动相关性很高时,外汇的风险溢酬将近似于零均值白噪声;而当经济危机爆发时,外汇风险溢酬将表现出巨大的波动。
作者 郑振龙 邓弋威
机构地区 福建厦门厦门大学金融系
出处 《世界经济》 CSSCI 北大核心 2010年第5期51-64,共14页 The Journal of World Economy
基金 教育部“国际金融危机应对研究”应急项目:金融市场的信息功能与金融危机预警(2009JYJR051) 福建省自然科学基金:卖空交易对证券市场的影响研究(2009J01316)的资助
关键词 外汇风险溢酬 随机贴现因子 宏观经济波动
分类号 F224 [经济管理—国民经济] F830.7 [经济管理—金融学]
  • 相关文献

参考文献30

  • 1陈蓉,郑振龙.无偏估计、价格发现与期货市场效率——期货与现货价格关系[J].系统工程理论与实践,2008,28(8):2-11. 被引量：58
  • 2陈蓉,郑振龙.结构突变、推定预期与风险溢酬：美元／人民币远期汇率定价偏差的信息含量[J].世界经济,2009,32(6):64-76. 被引量：55
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二级参考文献44

  • 1黄学军,吴冲锋.离岸人民币非交割远期与境内即期汇率价格的互动:改革前后[J].金融研究,2006(11):83-89. 被引量：139
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共引文献110

同被引文献61

  • 1黄学军,吴冲锋.离岸人民币非交割远期与境内即期汇率价格的互动:改革前后[J].金融研究,2006(11):83-89. 被引量：139
  • 2王世华,何帆.中国的短期国际资本流动:现状、流动途径和影响因素[J].世界经济,2007,30(7):12-19. 被引量：170
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  • 10J. Y. Campbell & J. H. Cochrane, "By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior," Journal of Political Economy ,Vol. 107, No. 2(1999), pp. 205 - 251.

引证文献4

二级引证文献46

世界经济
2010年 第5期

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