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dc.contributor.authorAdrian, Tobiasen
dc.contributor.authorEtula, Erkkoen
dc.contributor.authorGroen, Jan J. J.en
dc.date.accessioned2012-08-17T14:37:39Z-
dc.date.available2012-08-17T14:37:39Z-
dc.date.issued2010-
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
dc.language.isoengen
dc.publisher|aFederal Reserve Bank of New York |cNew York, NYen
dc.relation.ispartofseries|aStaff Report |x461en
dc.subject.jelG15en
dc.subject.jelG01en
dc.subject.jelG17en
dc.subject.jelF31en
dc.subject.ddc330en
dc.subject.keywordForeign exchange risk premiumen
dc.subject.keywordsystemic risk monitoringen
dc.subject.keywordfinancial intermediationen
dc.subject.keywordasset pricingen
dc.subject.stwWechselkursrisikoen
dc.subject.stwRisikoprämieen
dc.subject.stwUS-Dollaren
dc.subject.stwFinanzintermediären
dc.subject.stwCapital Asset Pricing Modelen
dc.subject.stwUSAen
dc.subject.stwWelten
dc.titleFinancial amplification of foreign exchange risk premia-
dc.typeWorking Paperen
dc.identifier.ppn635903482en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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