Currency Betas and Interest Rate Spreads
Currency Betas and Interest Rate Spreads
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货币贝塔值和利差
DOI：
10.2139/ssrn.3262313
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发表时间：
2018
期刊：
影响因子：
--
通讯作者：
Gianluca Rinaldi
中科院分区：
文献类型：
--
作者：
Andrew Lilley;Gianluca Rinaldi
我们发现，自金融危机以来，货币与风险溢价之间的关系发生了巨大变化：股票收益率和汇率的协方差在危机后急剧增加。自2008年以来，21%的月度货币升值变化可以用货币的有条件权益贝塔与同期美国股市回报率的相互作用来解释，而此前这一比例不到1%。我们提供的证据表明，在危机之前，利率利差对风险溢价变化的反应方式降低了汇率对风险溢价的敏感性。
We document that the relationship between currencies and risk premia has changed dramatically since the financial crisis: the covariance of equity returns and exchange rates sharply increased after the crisis. Since 2008, 21 per cent of the variation in monthly currency appreciations can be explained by the interaction of the currency’s conditional equity beta with the contemporaneous return on the US stock market, compared to less than 1 per cent beforehand. We provide evidence that, prior to the crisis, interest rate spreads responded to risk premia changes in a way that decreased the sensitivity of exchange rates to risk premia.