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Exchange Rates and Sovereign Risk

Pasquale Della CorteLucio SarnoMaik SchmelingChristian Wagner

出版	Centre for Economic Policy Research, 2021
URL	http://books.google.com.hk/books?id=oZJxzgEACAAJ&hl=&source=gbs_api

註釋

An increase in a country's sovereign risk, as measured by credit default swap spreads, is accompanied by a contemporaneous depreciation of its currency and an increase of its volatility. The relation between currency excess returns and sovereign risk is mainly driven by default expectations (rather than distress risk premia) and exposure to global sovereign risk shocks, and also emerges in a predictive setting for currency risk premia. We show that a sovereign risk factor is priced in the cross-section of currency returns and that it is not subsumed by the carry factor.