论坛活动

时 间

2025年11月19日（周三）上午10:00-11:30

地 点

中国人民大学中关村校区明德主楼801

主办单位

国家金融研究院、中国人民大学财政金融学院货币金融系

主讲嘉宾简介

方翔博士从2019年开始任香港大学经管学院金融学助理教授。他在2019年于宾夕法尼亚大学获得经济学博士学位。此前，他在清华大学获得经济学硕士学位，在复旦大学获得经济学学士学位。他的研究兴趣包括国际金融、资产定价以及它们与宏观经济的联系，尤其是金融中介的关键作用。他的研究成果发表在Journal of Financial Economics, Review of Financial Studies, Journalof Banking and Finance, Annual Review of Financial Economics等期刊上。

沙龙内容摘要

This paper studies the inflation risk and risk premia in the currency market. Decomposing inflation into core and noncore components, we develop an affine-linear term structure model of currencies that can explain the well-established dollar and carry factor premium. We estimate the risk exposure of different currency portfolios to the core and noncore inflation risks and determine the correlation between inflation risk with the global risk factors that drive currency fluctuations. Our model suggests that core inflation has a sizable correlation with the two global factors, which gives rise to a significant inflation risk premium, which is largely ignored in the previous literature. We further show that using headline inflation alone would obscure the inflation risk premium in the currency market.