Rare Disasters and Exchange Rates *
提出一个基于罕见极端灾难风险的汇率模型，解释汇率波动、远期溢价之谜和利差交易超额收益等难题，并预测汇率与货币期权中灾难风险信号的关系。
Abstract We propose a new model of exchange rates, based on the hypothesis that the possibility of rare but extreme disasters is an important determinant of risk premia in asset markets. The probability of world disasters as well as each country’s exposure to these events is time-varying. This creates joint fluctuations in exchange rates, interest rates, options, and stock markets. The model accounts for a series of major puzzles in exchange rates: excess volatility and exchange rate disconnect, forward premium puzzle and large excess returns of the carry trade, and comovements between stocks and exchange rates. It also makes empirically successful signature predictions regarding the link between exchange rates and telltale signs of disaster risk in currency options.