Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/60926
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dc.contributor.authorAdrian, Tobiasen_US
dc.contributor.authorEtula, Erkkoen_US
dc.contributor.authorGroen, Jan J. J.en_US
dc.date.accessioned2012-08-17T14:37:39Z-
dc.date.available2012-08-17T14:37:39Z-
dc.date.issued2010en_US
dc.identifier.urihttp://hdl.handle.net/10419/60926-
dc.description.abstractTheories 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.en_US
dc.language.isoengen_US
dc.publisher|aFederal Reserve Bank of New York |cNew York, NYen_US
dc.relation.ispartofseries|aStaff Report, Federal Reserve Bank of New York |x461en_US
dc.subject.jelG15en_US
dc.subject.jelG01en_US
dc.subject.jelG17en_US
dc.subject.jelF31en_US
dc.subject.ddc330en_US
dc.subject.keywordForeign exchange risk premiumen_US
dc.subject.keywordsystemic risk monitoringen_US
dc.subject.keywordfinancial intermediationen_US
dc.subject.keywordasset pricingen_US
dc.subject.stwWechselkursrisikoen_US
dc.subject.stwRisikoprämieen_US
dc.subject.stwUS-Dollaren_US
dc.subject.stwFinanzintermediären_US
dc.subject.stwCapital Asset Pricing Modelen_US
dc.subject.stwUSAen_US
dc.subject.stwWelten_US
dc.titleFinancial amplification of foreign exchange risk premiaen_US
dc.typeWorking Paperen_US
dc.identifier.ppn635903482en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US

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