The relative term structure and the Australian-US exchange rate
The relative term structure and the Australian-US exchange rate
复制标题
相对期限结构和澳美汇率
DOI：
10.1108/sef-05-2014-0089
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发表时间：
2016
影响因子：
1.9
通讯作者：
L. Fisher
中科院分区：
文献类型：
--
作者：
A. Bui;L. Fisher
目的-本文的目的是研究澳大利亚和美国收益率曲线中总结信息的因素是否可以预测澳大利亚-美国汇率（即澳元/美元汇率）和澳元超额收益的变化。设计/方法/方式-本文提取了三个纳尔逊-西格尔因素（水平，斜率和曲率）从澳大利亚与美国的相对收益率曲线，以预测双边汇率和澳元超额收益的变化。全样本回归允许相对曲率因子的系数发生变化，这可以解释美联储改变货币政策对量化宽松政策的影响。结果-该文件发现，相对曲率因子强烈预测的变化，澳元/美元汇率和澳元超额收益的12个月前的样本，美联储的量化宽松政策。相对曲率因子在全样本回归中保持其预测能力，但在2007年8月的样本预测中预计汇率变化较小，货币回报率过高。实际影响-澳大利亚和美国的收益率曲线可靠地反映了投资者对未来货币政策在每个经济体的预期。独创性/价值-本文探讨了预测内容的相对纳尔逊-西格尔因素的变化，在澳元/美元汇率和澳元超额收益在不同的预测范围内，涵盖了美联储的量化宽松政策。
Purpose - The purpose of this paper is to investigate whether the factors that summarise the information in the yield curves of Australia and the USA can predict changes in the Australian–USA exchange rate (i.e. the AUD/USD rate) and Australian dollar excess returns. Design/methodology/approach - The paper extracts the three Nelson–Siegel factors (level, slope and curvature) from the relative yield curve of Australia with the USA to predict changes in the bilateral exchange rate and excess returns on the Australian dollar. The full sample regressions allow for a shift in the coefficient on the relative curvature factor which can account for the impact of the Fed’s changed monetary policy to one of quantitative easing. Findings - The paper finds that the relative curvature factor strongly predicts changes in the AUD/USD exchange rate and Australian dollar excess returns out to 12 months ahead in the sample that precedes the Fed’s policy of quantitative easing. The relative curvature factor retains its predictive power in the full sample regressions but anticipates smaller exchange rate changes and excess currency returns in in-sample predictions made from August 2007. Practical implications - The yield curves of Australia and the USA reliably reflect investor’s expectations about prospective monetary policies in each economy. Originality/value - The paper investigates the predictive content of the relative Nelson–Siegel factors for changes in the AUD/USD exchange rate and for Australian dollar excess returns over various forecast horizons for a period that covers the Fed’s policy of quantitative easing.