Macro Variables Do Drive Exchange Rate Movements: Evidence from a No-Arbitrage Model
Macro Variables Do Drive Exchange Rate Movements: Evidence from a No-Arbitrage Model
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宏观变量确实会推动汇率变动：来自无套利模型的证据
DOI：
10.2139/ssrn.890873
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发表时间：
2006
期刊：
影响因子：
--
通讯作者：
S. Dong
中科院分区：
文献类型：
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作者：
S. Dong
预期的汇率变化是由各国之间的利率差和风险溢价决定的，而意外的变化则是由宏观经济变量的创新驱动的，而这种创新又被随时间变化的风险市场价格放大。在一个模型中，短期利率响应于每个国家的产出缺口和通货膨胀，我确定宏观和货币政策风险溢价指定每个国家的利率和汇率的期限结构的无套利动态。用美国/德国的数据估计模型，我发现模型隐含的汇率变化与数据之间的相关性超过60%。该模型隐含了一个逆周期的外汇风险溢价，宏观风险溢价在匹配偏离未覆盖利率平价方面发挥了重要作用。我发现，产出缺口和通货膨胀驱动约70%的预测汇率变化的条件均值的方差。
Expected exchange rate changes are determined by interest rate differentials across countries and risk premia, while unexpected changes are driven by innovations to macroeconomic variables, which are amplified by time-varying market prices of risk. In a model where short rates respond to the output gap and inflation in each country, I identify macro and monetary policy risk premia by specifying no-arbitrage dynamics of each country's term structure of interest rates and the exchange rate. Estimating the model with US/German data, I find that the correlation between the model-implied exchange rate changes and the data is over 60%. The model implies a countercyclical foreign exchange risk premium with macro risk premia playing an important role in matching the deviations from Uncovered Interest Rate Parity. I find that the output gap and inflation drive about 70% of the variance of forecasting the conditional mean of exchange rate changes.