Currency Returns, Intrinsic Value, and Institutional-Investor Flows
Currency Returns, Intrinsic Value, and Institutional-Investor Flows
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DOI：
10.1111/j.1540-6261.2005.00769.x
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发表时间：
2005-06
影响因子：
8
通讯作者：
Kenneth A. Froot;T. Ramadorai
中科院分区：
文献类型：
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作者：
Kenneth A. Froot;T. Ramadorai
我们将货币回报分解为（永久性）内在价值冲击和（暂时性）预期回报冲击。我们探讨这些冲击，货币回报和机构投资者的货币流动之间的相互作用。内在价值冲击是：与预期回报冲击相比相形见绌（但货币回报对它们反应过度）;与流量无关（尽管预期回报冲击与流量相关）;与预测的累积利息差呈正相关。这些结果表明，流动与短期货币回报有关，而基本面更好地解释了长期回报和价值。它们还为长期观察到的汇率模型的糟糕表现提供了合理解释：由于忽略了永久性和暂时性汇率变化之间的区别，先前的测试模糊了货币和基本面之间的联系。
We decompose currency returns into (permanent) intrinsic-value shocks and (transitory) expected-return shocks. We explore interactions between these shocks, currency returns, and institutional-investor currency flows. Intrinsic-value shocks are: dwarfed by expected-return shocks (yet currency returns overreact to them); unrelated to flows (although expected-return shocks correlate with flows); and related positively to forecasted cumulated-interest differentials. These results suggest flows are related to short-term currency returns, while fundamentals better explain long-term returns and values. They also rationalize the long-observed poor performance of exchange-rate models: by ignoring the distinction between permanent and transitory exchange-rate changes, prior tests obscure the connection between currencies and fundamentals.