Currency Premia and Global Imbalances
研究发现一个全球失衡风险因子能解释货币超额收益的横截面差异：净债务国因本币在经济低迷时贬值，需提供货币风险溢价来补偿投资者。该因子在其他主要资产市场也有定价作用。
We show that a global imbalance risk factor that captures the spread in countries’ external imbalances and their propensity to issue external liabilities in foreign currency explains the cross-sectional variation in currency excess returns. The economic intuition is simple: net debtor countries offer a currency risk premium to compensate investors willing to finance negative external imbalances because their currencies depreciate in bad times. This mechanism is consistent with exchange rate theory based on capital flows in imperfect financial markets. We also find that the global imbalance factor is priced in cross-sections of other major asset markets. Received February 11, 2014; accepted January 25, 2016 by Editor Geert Bekaert.