【主讲】Yinggang Zhou 助教授 (香港中文大学)
【主题】Global Currency Hedging: Evidence from Conditional Coskewness and Cokurtosis
【时间】2012年10月25日 (周四) 15：30-17：00
【地点】上海财经大学经济学院楼801室
【语言】英文
【摘要】We extend Campbell, Medeiros and Viceira (2010) and examine higher moment (beyond the second moment) risk management implications of various currencies for equity investors in the era of floating exchange rates. We find that the safe haven currencies: US dollar, Swiss franc and Japanese Yen have positive co-skewnenss with equity market while other currencies have negative coskewnesses. This implies that these currencies are good hedge in the volatile market, as they appreciate when the equity volatility increases. Moreover, their cokurtosis with the world equity market are either negative or lower than other currency counterparts, suggesting even higher hedging effectiveness for these currencies during extreme stock market downturns. We find that currency coskewness and cokurtosis with stock markets are priced in the currency market, by providing time series evidence that currency conditional coskewness and cokurtosis (with the equity market) command significant ex ante risk premiums, with the expected negative sign for the price of coskewness and the expected positive sign for the price of cokurtosis. Consistent with some theoretical arguments, we also find a significant negative relation between expected idiosyncratic skewness and average ex ante currency risk premiums.
