Risk Appetite and Exchange Rates
Risk Appetite and Exchange Rates
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风险偏好和汇率
DOI：
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发表时间：
2010
期刊：
影响因子：
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通讯作者：
Hyun Song Shin
中科院分区：
文献类型：
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作者：
Tobias Adrian;Erkko M. Etula;Hyun Song Shin
我们提出的证据表明，美国的增长-以美元计价的银行业负债预测，美元兑大量外币将升值，无论是样本内还是样本外。我们提供了一个理论基础的融资流动性渠道在全球银行模型中，汇率波动作为银行的资产负债表能力的函数。我们使用横截面资产定价方法估计风险价格，并表明美元融资流动性预测汇率，因为它与随时间变化的风险溢价。我们的经验证据表明，这一渠道是从更熟悉的“套息交易”渠道分开。尽管2007-09年的金融危机导致了我们预测变量的结构性变化，但当我们控制这种变化时，预测关系得以保留。
We present evidence that the growth of U.S.-dollar-denominated banking sector liabilities forecasts appreciations of the U.S. dollar, both in-sample and out-of-sample, against a large set of foreign currencies. We provide a theoretical foundation for a funding liquidity channel in a global banking model where exchange rates fluctuate as a function of banks’ balance sheet capacity. We estimate prices of risk using a cross-sectional asset pricing approach and show that the U.S. dollar funding liquidity forecasts exchange rates because of its association with time-varying risk premia. Our empirical evidence shows that this channel is separate from the more familiar “carry trade” channel. Although the financial crisis of 2007-09 induced a structural shift in our forecasting variables, when we control for this shift, the forecasting relationship is preserved.