演講者簡介 : Yu-Chin Chen received her Ph.D. in Economics from Harvard University in 2002. She is currently serving as Associate Professor of Economics at University of Washington in Seattle. Her research field is in international finance, open economy macroeconomics and international trade.
演講摘要 : The empirical failure of the uncovered interest rate parity (UIP) condition has been commonly attributed to underlying time-varying risk premia and market expectation biases. Neither of these concepts have been reliably measured empirically. Our paper first uses market prices of FX options capture market assessment of the probability distributions of future exchange rate realizations. Using daily options data for five major currency pairs over the period 2007 through 2011, we show that the options-implied FX risk measures - standard deviation, skewness, and kurtosis – explain subsequent FX excess returns for horizons between one week to twelve months. Pushing beyond matched frequency UIP-style analyses, we further show that 1) the term structure of options-implied moments and 2) information incorporating a broader set of FX currency options, can both help predict quarterly bilateral excess returns, supporting previous literature emphasizing term-structure dynamics and correlated global risk. Lastly, we find that the 2008 financial crisis induces a major structural break in the empirical relationship between options-implied moments and currency risk
