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https://ah.lib.nccu.edu.tw/handle/140.119/126715
題名: | Funding Liquidity Constraints and the Forward Premium Anomaly in a DSGE Model | 作者: | 朱琇妍 Chu, Shiou-Yen |
貢獻者: | 財政系 | 關鍵詞: | Carry trade ; Collateralized loan ; Nominal rigidities | 日期: | Sep-2015 | 上傳時間: | 4-Oct-2019 | 摘要: | This paper investigates the role of a funding liquidity constraint in the forward premium anomaly by developing a two-sector, two-agent dynamic stochastic general equilibrium (DSGE) model. We show that international consumption risks are not perfectly shared owing to the presence of a funding constraint and various discount factors. We explicitly specify a risk premium term and measure it in response to negative productivity shocks, policy shocks, and exchange rate shocks. The results indicate that these shocks, especially the policy shocks, widen the uncovered interest parity deviations to a great extent. Our research is compatible with the empirical evidence that funding illiquidity led to a significant uncovered interest parity violation during the 2008–2009 financial crisis. | 關聯: | International Review of Economics and Finance, Vol.39, pp.76-89 | 資料類型: | article | DOI: | https://doi.org/10.1016/j.iref.2015.06.004 |
Appears in Collections: | 期刊論文 |
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