Arbeitspapier
Financial amplification of foreign exchange risk premia
Theories of systemic risk suggest that financial intermediaries' balance-sheet constraints amplify fundamental shocks. We provide supportive evidence for such theories by decomposing the U.S. dollar risk premium into components associated with macroeconomic fundamentals and a component associated with financial intermediary balance sheets. Relative to the benchmark model with only macroeconomic state variables, balance sheets amplify the U.S. dollar risk premium. We discuss applications to systemic risk monitoring.
- Sprache
-
Englisch
- Erschienen in
-
Series: Staff Report ; No. 461
- Klassifikation
-
Wirtschaft
International Financial Markets
Financial Crises
Financial Forecasting and Simulation
Foreign Exchange
- Thema
-
Foreign exchange risk premium
systemic risk monitoring
financial intermediation
asset pricing
Wechselkursrisiko
Risikoprämie
US-Dollar
Finanzintermediär
Capital Asset Pricing Model
USA
Welt
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Adrian, Tobias
Etula, Erkko
Groen, Jan J. J.
- Ereignis
-
Veröffentlichung
- (wer)
-
Federal Reserve Bank of New York
- (wo)
-
New York, NY
- (wann)
-
2010
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Adrian, Tobias
- Etula, Erkko
- Groen, Jan J. J.
- Federal Reserve Bank of New York
Entstanden
- 2010
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