Farhi, Emmanuel; Fraiberger, Samuel; Gabaix, Xavier; … - Institute for Quantitative Social Science, Harvard … - 2015
Since the Fall of 2008, out-of-the money puts on high interest rate currencies have become significantly more expensive than out-of-the-money calls, suggesting a large crash risk of those currencies. To evaluate crash risk precisely, we propose a parsimonious structural model that includes both...