题目：Currency Risk Premia

　　报告人：陈锐，中央财经大学，助理教授

　　时间：2017年6月22日(周四)15:30~17:00

　　地点：经管院B226

　　主办方：太阳集团tyc4633金融系、大数据驱动的投资管理研究团队

　　报告摘要如下：

　　Currency risk premia play a key role in rational paradigms for understanding exchange rate fluctuations. To account for currency risk premia of different maturities at each point in time, we propose a two-economy affine term structure model of exchange rates and interest rates with unspanned macroeconomic risks. In our setting, currency risk premia are orthogonally driven by term structure factors and macro factors. Our estimation shows that the model can generate a decreasing curve of forward currency risk premia that is able to simultaneously account for the forward premium puzzle and the level of exchange rates implied by classic equilibrium exchange rate models.

　　报告人简介：

　　陈锐，江西南昌人，本科清华大学工程物理系，硕士博士澳大利亚悉尼大学，现供职于中央财经大学金融学院任助理教授，中央财经大学中国资产管理研究中心任研究员。在Financial Management, Finance Research Letter, Australian Economic Papers, Asia-Pacific Journal of Financial Studies等期刊发表论文，主要研究方向包括：实证资产定价，利率期限结构模型，市场微观结构，基金业绩评价。