讲座题目
Disaster Recovery, Jump Propagation and the Multihorizon UIP Pattern
主讲嘉宾
杜博文
时间
2024年10月23日，周三，10:00-11:30
地点
学院南路校区学术会堂603
主办方
创新发展学院中国金融发展研究院
嘉宾介绍
杜博文，湖南大学经济管理研究中心助理教授，香港城市大学金融学博士。主要研究方向包括资产定价，金融衍生品，投资组合管理，金融科技等。
讲座摘要
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：陈翀
审稿：吴仰儒、赵阳
排版：沈嘉怡
编辑：沈嘉怡
审核：王颖
