Currency Risk Factors in a Recursive Multicountry Economy
研究了10种主要货币对全球增长新闻冲击的异质性暴露，并构建了一个包含递归偏好和多国多商品的无摩擦风险分担模型，解释了外汇套利交易策略的收益特征。
ABSTRACT Focusing on the 10 most traded currencies, we provide empirical evidence regarding a significant heterogeneous exposure to global growth news shocks. We incorporate this empirical fact in a frictionless risk‐sharing model with recursive preferences, multiple countries, and multiple consumption goods whose supply features both global and local short‐ and long‐run shocks. Since news shocks are priced, heterogeneous exposure to long‐lasting global growth shocks results in a relevant reallocation of international resources and currency adjustments. Our unified framework replicates the properties of the HML‐FX and HML‐NFA carry‐trade strategies studied by Lustig, Roussanov, and Verdelhan and Della Corte, Riddiough, and Sarno.