Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/60926
Authors: 
Adrian, Tobias
Etula, Erkko
Groen, Jan J. J.
Year of Publication: 
2010
Series/Report no.: 
Staff Report, Federal Reserve Bank of New York 461
Abstract: 
Theories of systemic risk suggest that financial intermediaries' balance-sheet constraints amplify fundamental shocks. We provide supportive evidence for such theories by decomposing the U.S. dollar risk premium into components associated with macroeconomic fundamentals and a component associated with financial intermediary balance sheets. Relative to the benchmark model with only macroeconomic state variables, balance sheets amplify the U.S. dollar risk premium. We discuss applications to systemic risk monitoring.
Subjects: 
Foreign exchange risk premium
systemic risk monitoring
financial intermediation
asset pricing
JEL: 
G15
G01
G17
F31
Document Type: 
Working Paper

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