Exchange Rates and Sovereign Risk
研究发现，一国主权风险上升时，其货币会同时贬值且波动加剧；货币超额收益与主权风险的关系主要由违约预期驱动，且主权风险因子在货币回报的横截面中被定价。
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. This paper was accepted by David Simchi-Levi, finance.