講座題目
Disaster Recovery, Jump Propagation and the Multihorizon UIP Pattern
主講嘉賓
杜博文
時間
2024年10月23日，周三，10:00-11:30
地點
學院南路校區學術會堂603
主辦方
韦德体育bevictor中國金融發展研究院
嘉賓介紹
杜博文，湖南大學經濟管理研究中心助理教授，香港城市大學金融學博士。主要研究方向包括資産定價，金融衍生品，投資組合管理，金融科技等。
講座摘要
The forward premium puzzle and the exchange rate level puzzle are two violations of the interest parity condition. The former implies that a high interest rate currency is riskier while the latter implies the opposite. We propose a consumption-based general equilibrium model with disaster recovery and jump propagation to explain the two puzzles and hence address the paradox. The model reproduces multi-horizon UIP regression slopes in Engel (2016), which is the key to resolving the currency puzzles. It also accounts for the term structure of real bond yields, dividend growth risk, dividend strips return volatility, and dividend strips risk premia. In addition, the model demonstrates a strong ability to accurately align with key economic and asset-pricing moments.
撰稿：陳翀
審稿：吳仰儒、趙陽
排版：沈嘉怡
編輯：沈嘉怡
審核：王穎
