主讲人：王景业，中国人民大学
题目：A Currency Premium Puzzle
主持人：余昌华（北京大学国家发展研究院）
时间：2024年12月3日（周二）上午10:00-11:30（北京时间）
地点：344教室

摘要：
Standard asset pricing models reconcile high equity premia with smooth risk-free rates by inducing an inverse functional relationship between the mean and the variance of the stochastic discount factor. This highly successful resolution to closed-economy asset pricing puzzles is fundamentally problematic when applied to open economies: It requires that differences in currency returns arise almost exclusively from predictable appreciations, not from interest rate differentials. In the data, by contrast, exchange rates are largely unpredictable, and currency returns arise from persistent interest rate differentials. We show currency risk premia arising in canonical long-run risk and habit preferences cannot match this fact. We argue this tension between canonical asset pricing and international macroeconomic models is a key reason researchers have struggled to reconcile the observed behavior of exchange rates, interest rates, and capital flows across countries. The lack of such a unifying model is a major impediment to understanding the effect of risk premia on international markets.

主讲人介绍：
Jingye Wang is an Assistant Professor at the School of Finance, Renmin University of China. His work focuses on international asset pricing, international macroeconomics, and macro-finance.