Extraction of proxy relative sovereign bond yield curve factors
Extraction of proxy relative sovereign bond yield curve factors
复制标题
代理相对主权债券收益率曲线因子的提取
DOI：
10.1080/13504851.2021.1966363
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发表时间：
2021
影响因子：
1.6
通讯作者：
Hokuto Ishii
中科院分区：
文献类型：
--
作者：
Suzuki;Noirko;Susumu Annaka;Mellet Xavier;and Masahisa Endo;Miho Murashima;河股 久司;Hokuto Ishii;Miho Murashima;中村文亮;田中昌宏;中村文亮;Hokuto Ishii
本文分析了主权收益率因素与汇率变动之间的关系。提出了一种从两国国债收益率曲线中提取代理相对收益率因子的新方法。正如之前的研究所示（例如Chen和Tsang 2013; Wellmann和Trück 2018），相对收益率曲线因素在解释外汇汇率变化方面发挥着重要作用。特别是，代理相对水平和斜率因素对汇率变化具有解释力，特别是对于日元/美元对。
This study analyses the relationship between sovereign yield factors and exchange rate changes. A new method is proposed to extract proxy relative yield factors from the yield curves of two countries. As previous studies showed (e.g. Chen and Tsang 2013; Wellmann and Trück 2018), the relative yield curve factors play an important role in explaining the variation in the foreign exchange rates. Especially, the proxy relative level and slope factors have explanatory power for exchange rate changes, especially for the JPY/USD pair.
影响因子：
8
作者：
Chen, Yu-Chin;Tsang, Kwok Ping
通讯作者：
Tsang, Kwok Ping