LIQUIDITY RISK AND TIME‐VARYING CORRELATION BETWEEN EQUITY AND CURRENCY RETURNS
利用20个OECD国家数据，发现股票与货币收益的负相关关系在不确定性高时减弱或逆转，并用含时变流动性风险的模型解释这一现象。
Using the data of 20 major Organization for Economic Co‐operation and Development countries over time, this article documents new evidence on real equity and real currency prices: higher real returns in the home equity market relative to its foreign counterparts are generally associated with real home currency depreciation at monthly frequency, but this negative correlation breaks down or even reverses during times of relatively higher aggregate economic uncertainty or volatility. This article also argues that a long‐run risks‐type model with time‐varying liquidity risk in stock markets can provide one plausible explanation for the time‐varying correlation structure.