期权隐含货币风险溢价

ERN: International Finance (Topic) Pub Date : 2014-10-15 DOI:10.2139/ssrn.2338585

Jakub W. Jurek, Zhikai Xu

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引用次数: 31

摘要

我们使用汇率期权的横截面数据获得了G10货币对风险溢价的事前估计。期权价格与非高斯双因素模型匹配良好，与已实现货币回报的证据一致。我们发现，期权隐含的货币风险溢价对月度货币超额收益提供了无偏的预测，并实现了高达44%的横截面预测R^2s。尽管期权数据存在显著的非常态性，但模型HML-FX风险溢价的不到20%，即每年约70个基点，是由于全球风险的不对称性和较高时刻造成的。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Option-Implied Currency Risk Premia

We obtain ex ante estimates of risk premia for G10 currency pairs using cross-sectional data on exchange rate options. Option prices are well-matched by a non-Gaussian, two-factor model, consistent with evidence from realized currency returns. We find that option-implied currency risk premia provide an unbiased forecast of monthly currency excess returns, and achieve cross-sectional forecasting R^2s of up to 44%. Despite prominent non-normalities in option data, less than 20% of the model HML-FX risk premium, or roughly 70bps per annum, is due to the asymmetries and higher-moments of global risks.

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ERN: International Finance (Topic)

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