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11月8日Seminar：Exchange Rate Risk, Transmission Channels, and Asset Returns: Evidence from China
发布时间：2012-11-05
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主 题：Exchange Rate Risk, Transmission Channels, and Asset Returns: Evidence from China
[摘要]We study whether and how exchange rate risk is priced in asset returns is related to the risk transmission channels using data in China. We find that foreign exchange risks measured by weighted average of a basket of currencies are not priced in asset returns either under the pegged exchange rate system prior to July 2005 or under the managed floating exchange rate regime afterwards. However, the results for exchange rate risk factor measured by U.S. dollar/Yuan exchange rate show considerable reductions in asset pricing errors, suggesting that the risk exposure to U.S. dollar fluctuation is priced in stock returns. We further examine the transmission mechanisms through which the exchange rate risk could impact asset returns. Our results suggest that the ‘international trade’ and ‘credit expansion’ channels are particularly important in transmitting the exchange rate risk. Panel regression and VAR analysis shows that the effect of exchange rate risk on asset returns is permanent. Overall our study suggests that the pricing of exchange rate risk in asset returns is related to exchange rate regime and the relative strength of the transmission channels. Our results imply that transmission channels can affect the effectiveness of exchange rate policies for enhancing financial stability.
主讲人：华秀萍，诺丁汉商学院（中国）助理教授，博士
主持人：罗楚亮教授
时 间：11月8日下午2点半到4点
地 点：北师大后主楼1610