Imperial College London
Alternate

Professor Pasquale Della Corte

Business School

Professor of Finance
 
 
 
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Contact

 

+44 (0)20 7594 9331p.dellacorte CV

 
 
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Location

 

5.01d53 Prince's GateSouth Kensington Campus

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Summary

 

Publications

Citation

BibTex format

@article{Della:2016:rfs/hhw038,
author = {Della, Corte P and Riddiough, SJ and Sarno, L},
doi = {rfs/hhw038},
journal = {Review of Financial Studies},
pages = {2161--2193},
title = {Currency premia and global imbalances},
url = {http://dx.doi.org/10.1093/rfs/hhw038},
volume = {29},
year = {2016}
}
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RIS format (EndNote, RefMan)

TY  - JOUR
AB  - We show that a global imbalance risk factor that captures the spread in countries’ external imbalances and their propensity to issue external liabilities in foreign currency explains the cross-sectional variation in currency excess returns. The economic intuition is simple: net debtor countries offer a currency risk premium to compensate investors willing to finance negative external imbalances because their currencies depreciate in bad times. This mechanism is consistent with exchange rate theory based on capital flows in imperfect financial markets. We also find that the global imbalance factor is priced in cross-sections of other major asset markets.
AU  - Della,Corte P
AU  - Riddiough,SJ
AU  - Sarno,L
DO  - rfs/hhw038
EP  - 2193
PY  - 2016///
SN  - 1465-7368
SP  - 2161
TI  - Currency premia and global imbalances
T2  - Review of Financial Studies
UR  - http://dx.doi.org/10.1093/rfs/hhw038
VL  - 29
ER  -
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