Journal of Empirical Finance, Volume 48, September 2018

条件协偏度与避险货币：一个状态转换模型

作者：Kalok Chan (The Chinese University of Hong Kong)

JianYang (University of Colorado Denver)

Yinggang Zhou (Xiamen University)

摘要：我们根据马尔可夫状态转换模型得出的全球股票市场与货币的协偏度（货币收益与全球股票波动之间的协方差）研究避险货币的对冲收益。在主要货币中，美元，日元和瑞士法郎具有正的货币协偏度，可以对冲全球股市波动。此外，较低的超额回报和相应的货币低利率部分归因于它们之间正的协偏度，因为货币协偏度被显著定价为负的预期风险溢价。即使在允许时变或下行beta、波动性和偏度之后，协偏度定价效应仍然稳健。

关键词：货币对冲；避险货币；条件协偏度；状态转换；国际资产定价

Conditional co-skewness and safe-haven currencies: A regime switching approach

Kalok Chan (The Chinese University of Hong Kong), JianYang (University of Colorado Denver)，Yinggang Zhou (Xiamen University)

ABSTRACT

We examine hedging benefits of safe-haven currencies in terms of currency co-skewness with the global stock market (covariance between currency return and global equity volatility) derived from a Markov regime switching model. Of the major currencies, the US dollar, the Japanese yen and the Swiss franc have positive currency co-skewness, providing a hedge against global stock volatility. Moreover, lower excess returns and associated lower interest rates on these currencies are partially attributable to their positive co-skewness because currency co-skewnesses are significantly priced with the expected negative risk premia. The co-skewness pricing effect remains robust even after allowance for time-varying or downside beta, volatility and skewness.

Keywords: Currency hedging; Safe-haven currencies; Conditional co-skewness; Regime switching; International asset pricing

原文链接：

https://www.sciencedirect.com/science/article/pii/S0927539818300392

翻译：陈然