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1、EuropeanEconomicReview55(2011)354–370ContentslistsavailableatScienceDirectEuropeanEconomicReviewjournalhomepage:www.elsevier.com/locate/eerReviewpaperFinancialampli?cationofforeignexchangeriskpremiaTobiasAdrian,ErkkoEtula,JanJ.J.GroenFederalReserveBankofNewYork,UnitedStatesarticleinfoabstractArticl
2、ehistory:Theoriesof?nancialfrictionsininternationalcapitalmarketssuggestthat?nancialReceived15November2010intermediaries’balancesheetconstraintsamplifyfundamentalshocks.WepresentAccepted20December2010empiricalevidenceforsuchtheoriesbydecomposingtheU.S.dollarriskpremiumintoAvailableonline4January2011
3、componentsassociatedwithmacroeconomicfundamentals,andacomponentasso-JELclassi?cation:ciatedwith?nancialintermediarybalancesheets.RelativetothebenchmarkmodelG15withonlymacroeconomicstatevariables,balancesheetsamplifytheU.S.dollarriskG01premium.Wediscussapplicationsto?nancialstabilitymonitoring.G17&20
4、10ElsevierB.V.Allrightsreserved.F31Keywords:ForeignexchangeriskpremiumFinancialstabilitymonitoringFinancialintermediariesAssetpricing1.IntroductionTheoriesof?nancialfrictionsininternationalcapitalmarketssuggestthatshockstomacroeconomicfundamentalsareampli?edbythepresenceoffundingconstraintsof?nancia
5、lintermediaries.Suchtheoriesofampli?cationhavebeenproposedbyCaballeroandKrishnamurthy(2001,2004)inthecontextofinternational?nancialmarkets.BrunnermeierandPedersen(2009)provideatheorybasedonthe‘‘marginspiral,’’whichleadstoaspilloverofdistressacross?nancialmarketparticipants.Morerecently,Bacchettaetal
6、.(2010)andKorinek(2010b)provideadditionalequilibriumtheoriesofbalancesheetampli?cation.Thecommonthreadofthisliteratureon?nancialampli?cationisthatlimitedfundingliquidityofintermediariesleadstolimitsofarbitrage,whichinturngivesrisetoexcessmovementsinassetpricesrelative1tofundamentals.Withinanassetpri
7、cingcontext,suchexcessvolatilitywillgeneratetimevariationineffectiveriskaversionduetochangesinthetightnessofintermediaries’fundingconstraints.Balancesheetcomponentsthusentertheequilibriumpricingkernel
