The Quanto Theory of Exchange Rates
The Quanto Theory of Exchange Rates
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汇率双币种理论
DOI：
10.2139/ssrn.2952250
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发表时间：
2017
期刊：
影响因子：
--
通讯作者：
Ian J. Martin
中科院分区：
文献类型：
--
作者：
Lukas Kremens;Ian J. Martin
我们提出了一个新的恒等式，将预期汇率升值与风险中性协方差项联系起来，并用它来激励基于定量指数合约价格的货币预测变量。我们通过面板回归表明，定量预测变量是货币升值和货币交易超额回报的经济和统计显著预测因子。在样本外，quanto变量优于基于未发现的利率平价、购买力平价和随机漫步的预测，可以预测货币的差异（美元中性）升值。（凝胶c53， e43, f31, f37, g12, g15）
We present a new identity that relates expected exchange rate appreciation to a risk-neutral covariance term, and use it to motivate a currency forecasting variable based on the prices of quanto index contracts. We show via panel regressions that the quanto forecast variable is an economically and statistically significant predictor of currency appreciation and of excess returns on currency trades. Out of sample, the quanto variable outperforms predictions based on uncovered interest parity, on purchasing power parity, and on a random walk as a forecaster of differential (dollar-neutral) currency appreciation. (JEL C53, E43, F31, F37, G12, G15)