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本期主题
Currency Premium, Interest Differential, and Long-Run Consumption Variance
时 间：2025年3月18日（Tue.）
15:30 p.m. - 17:00 p.m.
地 点：毓秀楼206
主 讲：Jun Liu (SAIF and UCSD)
报告摘要
The interest rate differential is correlated with currency risk pre-mia negatively in the short term and positively in the long term. Thisseemingly contradictory pattern has posed challenges for existing mod-els. We present a simple model that generates this reversaland non-monotonic pattern. Our model is rational, frictionless, and based onstandard expected CRRA utility. The model has two key features:(i) consumption variance has more than one decay mode, and (ii)consumption growth depends positively on the slowest decay mode. TheExchange rate, the interest rates, and currency premia are all explicitlysolved. We show that this model is empirically supported by the data.
报告人简介
Jun Liu is a Visiting Research Professor of Finance at Shanghai Advanced Institute of Finance, and a Professor of Finance at the Rady School of Management, University of California at San Diego.
Professor Liu’s research focuses on theoretical and empirical asset pricing, and the development and use of econometric methods. His Journal has been published in the Journal of Finance, Review of Financial Studies, and Journal of Financial Economics, as well as the Journal of Business, Review of Accounting Studies, Accounting Review, and Financial Analyst Journal. Professor Liu won the Michael Brennan Award for the best paper published in Review of Financial Studies in 2005. Professor Liu teaches Chinese Economy: Theory and Practice for Master of Finance Program and Asset Pricing Theory for Ph.D. Program at SAIF.
Professor Liu holds a Ph.D. in Finance (2000) from Stanford University and a Ph.D. in Physics (1988) from University of Texas at Austin.
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