financial amplification of foreign exchange risk premia

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1、EuropeanEconomicReview55(2011)354–370ContentslistsavailableatScienceDirectEuropeanEconomicReviewjournalhomepage:www.elsevier.com/locate/eerReviewpaperFinancialamplificationofforeignexchangeriskpremiaTobiasAdrian,ErkkoEtula,JanJ.J.GroenFederalReserveBankofNewYork,UnitedStatesarticleinfoabstractArticl

2、ehistory:TheoriesoffinancialfrictionsininternationalcapitalmarketssuggestthatfinancialReceived15November2010intermediaries’balancesheetconstraintsamplifyfundamentalshocks.WepresentAccepted20December2010empiricalevidenceforsuchtheoriesbydecomposingtheU.S.dollarriskpremiumintoAvailableonline4January2011

3、componentsassociatedwithmacroeconomicfundamentals,andacomponentasso-JELclassification:ciatedwithfinancialintermediarybalancesheets.RelativetothebenchmarkmodelG15withonlymacroeconomicstatevariables,balancesheetsamplifytheU.S.dollarriskG01premium.Wediscussapplicationstofinancialstabilitymonitoring.G17&20

4、10ElsevierB.V.Allrightsreserved.F31Keywords:ForeignexchangeriskpremiumFinancialstabilitymonitoringFinancialintermediariesAssetpricing1.IntroductionTheoriesoffinancialfrictionsininternationalcapitalmarketssuggestthatshockstomacroeconomicfundamentalsareamplifiedbythepresenceoffundingconstraintsoffinancia

5、lintermediaries.SuchtheoriesofamplificationhavebeenproposedbyCaballeroandKrishnamurthy(2001,2004)inthecontextofinternationalfinancialmarkets.BrunnermeierandPedersen(2009)provideatheorybasedonthe‘‘marginspiral,’’whichleadstoaspilloverofdistressacrossfinancialmarketparticipants.Morerecently,Bacchettaetal

6、.(2010)andKorinek(2010b)provideadditionalequilibriumtheoriesofbalancesheetamplification.Thecommonthreadofthisliteratureonfinancialamplificationisthatlimitedfundingliquidityofintermediariesleadstolimitsofarbitrage,whichinturngivesrisetoexcessmovementsinassetpricesrelative1tofundamentals.Withinanassetpri

7、cingcontext,suchexcessvolatilitywillgeneratetimevariationineffectiveriskaversionduetochangesinthetightnessofintermediaries’fundingconstraints.Balancesheetcomponentsthusentertheequilibriumpricingkernel