Monetary Policy and Exchange Rate Returns: Time-Varying Risk Regimes
Monetary Policy and Exchange Rate Returns: Time-Varying Risk Regimes
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货币政策和汇率回报：时变风险机制
DOI：
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发表时间：
2019
期刊：
影响因子：
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通讯作者：
Harry Mamaysky
中科院分区：
文献类型：
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作者：
Charles W. Calomiris;Harry Mamaysky
我们开发了一个汇率回报的经验模型，分别应用于发达(DM)和发展中(EM)经济体的货币兑美元的样本。全球央行的货币政策立场通过基于自然语言的方法衡量，对随后一年的汇率回报有很大影响，与波动率指数密切相关，在后危机时代变得越来越重要。我们记录了一个重要的溢出效应：在预测货币对美元的回报方面，英国央行、日本央行和欧洲央行的货币政策与美联储的政策一样重要。在后危机时代，所有四家央行的鸽派立场增加一个标准差，就会预测新兴市场货币一年的超额回报为5.8%(4.0%)。此外，我们发现，一个新兴市场国家相对于美元的利差(套利)与其货币投资的未来回报之间的关系标志着从危机前到危机后的子时期，而对于新兴市场来说，套利变量从来都不是回报的显著预测因素。新兴市场货币套利交易的高额利润反映了持续的国家特征，这可能反映了风险，而不是利差本身。尽管衡量全球货币政策立场的指标预测了对美元的汇率回报，但它们并没有预测对其他基础货币的汇率回报。然而，关于套利收益的结果对基础货币的选择不敏感。我们构建了一个无套利定价模型，该模型与我们的许多经验结果相一致。
We develop an empirical model of exchange rate returns, applied separately to samples of developed (DM) and developing (EM) economies’ currencies against the dollar. Monetary policy stance of the global central banks, measured via a natural-language-based approach, has a large effect on exchange rate returns over the ensuing year, is closely linked to the VIX, and becomes increasingly important in the post-crisis era. We document an important spillover effect: monetary policy of the Bank of England, the Bank of Japan and the ECB is as important as Fed policy in forecasting currency returns against the dollar. In the post-crisis era, a one standard deviation increase in dovishness of all four central banks forecasts a 5.8% (4.0%) one-year excess return of DM (EM) currencies. Furthermore, we find that the relation between a DM country’s interest rate differential relative to the dollar (carry) and the future returns from investing in its currency switches sign from the pre- to the post-crisis subperiod, while for EMs the carry variable is never a significant predictor of returns. The high profit from the carry trade for EM currencies reflects persistent country characteristics likely reflective of risk rather than the interest differential per se. While measures of global monetary policy stance forecast exchange rate returns against the dollar, they do not predict exchange rate returns against other base currencies. Results regarding returns from carry, however, are insensitive to the choice of the base currency. We construct a no-arbitrage pricing model which reconciles many of our empirical findings.