Exchange rate behaviour with negative interest rates: Some early negative observations
Exchange rate behaviour with negative interest rates: Some early negative observations
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DOI：
10.1111/1468-0106.12250
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发表时间：
2018-02-01
影响因子：
1.5
通讯作者：
Rose, Andrew K.
中科院分区：
文献类型：
--
作者：
Hameed, Allaudeen;Rose, Andrew K.
本文考察了名义利率为负的最近一段时期的汇率行为。我们使用了从2010年1月到2016年5月的61种货币的每日面板数据；在此期间，5个经济体(丹麦、欧洲货币联盟、日本、瑞典和瑞士)经历了负名义利率。我们考察了有效汇率和双边汇率，后者通常相对于瑞士法郎进行衡量，因为瑞士的名义负利率持续时间最长。我们考察了汇率波动、汇率变动、对未担保利率平价的偏离，以及套利交易的利润。我们发现，负利率似乎对可观察到的汇率行为影响不大。
This paper examines exchange rate behaviour during the recent period with negative nominal interest rates. We use a daily panel of data of 61 currencies from January 2010 to May 2016; during this time five economies (Denmark, EMU, Japan, Sweden and Switzerland) experienced negative nominal interest rates. We examine both effective exchange rates and bilateral rates, the latter typically measured against the Swiss franc because Switzerland has had the longest period of negative nominal rates. We examine exchange rate volatility, exchange rate changes, deviations from uncovered interest parity, and profits from the carry trade. We find that negative interest rates seem to have little effect on observable exchange rate behaviour.