这是一个金融代写的相关案例
Background:
If the uncovered interest rate parity holds empirically, any gain from interest rate differentials between countries would be eliminated by offsetting movements in bilateral exchange rates. Hence, currency speculators would expect to earn a zero net payoff. Nevertheless, in reality, high interest rate currencies tend to appreciate relative to low interest rate currencies in the short- to medium-term, making carry trade profitable on average. This empirical regularity, often referred to as the “forward premium puzzle”, is extensively documented in the literature. A plausible risk-based explanation for this anomaly and the consequent payoffs to carry trades is the consideration of a reward for bearing time-varying risk by investors.
Question:
Discuss whether conventional and/or non-conventional risk factors explain these foreign exchange (FX) premia.
Some (Must Read) References:
Brunnermeier, Markus, Stefan Nagel, and Lasse H. Pedersen, 2009, Carry Trades and Currency Crashes, NBER Macroeconomics Annual 2008, Vol. 23, pp. 313−347.
Burnside, Craig, Martin Eichenbaum, and Sergio Rebelo, 2011, Carry Trade and Momentum in Currency Markets, Annual Review of Financial Economics, Vol. 3, pp. 511−536.
Burnside, Craig, Martin Eichenbaum, Isaac Kleshchelski, and Sergio Rebelo, 2011, Do Peso Problems Explain the Returns to the Carry Trade?, Review of Financial Studies, Vol. 24, pp. 853−891.
Della Corte, Pasquale, Steven J. Riddiough, and Lucio Sarno, 2016, Currency Premia and Global Imbalances, Review of Financial Studies, Vol. 29, pp. 2161−2193.
Engel, Charles, 1996, The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence, Journal of Empirical Finance, Vol. 3, pp. 123−192.
Fama, Eugene F., 1984, Forward and Spot Exchange Rates, Journal of Monetary Economics, Vol. 14, pp. 319−338.
Lustig, Hanno, and Adrien Verdelhan, 2007, The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk, American Economic Review, Vol. 97, pp. 89−117.
Lustig, Hanno, Nikolai Roussanov, and Adrien Verdelhan, 2011, Common Risk Factors in Currency Markets, Review of Financial Studies, Vol. 24, pp. 3731−3777.
Menkhoff, Lucas, Lucio Sarno, Maik Schmeling, and Andreas Schrimpf, 2012, Carry Trades and Global Foreign Exchange Volatility, Journal of Finance, Vol. 67, pp. 681−718.
Verdelhan, Adrien, 2018, The Share of Systematic Variation in Bilateral Exchange Rates, Journal of Finance, Vol. 73, pp. 375−418.