WHAT DOES THE YIELD CURVE TELL US ABOUT EXCHANGE RATE PREDICTABILITY?
WHAT DOES THE YIELD CURVE TELL US ABOUT EXCHANGE RATE PREDICTABILITY?
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DOI：
10.1162/rest_a_00231
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发表时间：
2013-03-01
影响因子：
8
通讯作者：
Tsang, Kwok Ping
中科院分区：
文献类型：
--
作者：
Chen, Yu-Chin;Tsang, Kwok Ping
由于利率期限结构包含了有关未来经济活动的信息，因此我们从跨国收益率曲线差异中提取相关的Nelson-Siegel（1987）因素，以代表未来汇率基本面的预期变动。使用英国、加拿大、日本和美国的月度数据，我们发现收益率曲线因素可以预测汇率变动，并解释未来一个月至两年的超额货币回报。我们的研究结果为汇率决定的资产定价公式提供了支持，并通过将货币风险溢价与通货膨胀和商业周期风险联系起来，为未覆盖的利率平价之谜提供了直观的解释。
Since the term structure of interest rates embodies information about future economic activity, we extract relative Nelson-Siegel (1987) factors from cross-country yield curve differences to proxy expected movements in future exchange rate fundamentals. Using monthly data for the United Kingdom, Canada, Japan, and the United States, we show that the yield curve factors predict exchange rate movements and explain excess currency returns one month to two years ahead. Our results provide support for the asset pricing formulation of exchange rate determination and offer an intuitive explanation to the uncovered interest parity puzzle by relating currency risk premiums to inflation and business cycle risks.