主題：The Carry Trade and
Uncovered Interest Parity when Markets are Incomplete（市場不完備情況下的息差交易和非抛補利率平價）
主講人：Lorenzo Garlappi，不列颠哥倫比亞大學尚德商學院副教授
日期：2017年6月21日（周三）
時間：上午10:00-11:30
地點：清華Betvictor中文版4号樓101教室
語言：英文
摘要：
Many of
the leading models of the carry trade imply that, contrary to the empirical
evidence, a country's currency depreciates in times of high consumption and
output growth, a manifestation of the Backus and Smith (1993) puzzle. We
propose a modification of these models to account for financial market
incompleteness and show that such a modification can induce positive
correlation between currency appreciation and consumption or output growth
while, at the same time, helping resolve the Backus and Smith (1993) and
Brandt, Cochrane, and Santa-Clara (2006) puzzles. Furthermore, in many of the
existing models, the assumed fundamental cross-country differences (output
volatility, growth, and risk attitude) responsible for interest rate
differentials also appear at odds with the data. We document that default risk
and financial openness are strongly related to interest rate differentials and
carry trade profits in the data. The incomplete markets model we propose is
consistent with these novel empirical facts.
主講人簡介:
Lorenzo
Garlappi is currently Associate Professor at Sauder School of Business,
University of British Columbia. He received a Ph.D. in Finance from University
of British Columbia in 2001. Dr. Garlappi teaches Asset Pricing Theory for
Ph.D, and he also teaches Investments and Financial Risk Management for
undergraduate and MBA students. His research interest includes Asset Pricing,
Credit Risk and Real Options, Portfolio Choice and Asset Allocation. He has
articles published in the Review of
Financial Studies, the Journal of
Financial Economics, the Journal of Finance, and Management Science among others.
