| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP10016 |
| DP10016 Common Macro Factors and Currency Premia | |
| Mark Taylor | |
| 发表日期 | 2014-06-08 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | We study the role of domestic and global factors on payoffs of portfolios built to mimic carry, dollar carry and momentum strategies. We construct domestic and global factors from a large dataset of macroeconomic and financial variables and find that global equity market factors render strong predictive power for carry trade returns, while U.S. inflation and consumption variables drive dollar carry trade payoffs and momentum returns are driven by global commodity and U.S. inflation factors. We find evidence of predictability in the exchange rate component of each strategy and demonstrate strong economic value to a risk-averse investor with mean-variance preferences. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | Factor analysis Foreign exchange Forward premium puzzle Momentum Carry trade |
| URL | https://cepr.org/publications/dp10016 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/538848 |
| 推荐引用方式 GB/T 7714 | Mark Taylor. DP10016 Common Macro Factors and Currency Premia. 2014. |
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