| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP10060
|
| DP10060 Forward and Spot Exchange Rates in a Multi-currency World |
| Tarek Hassan; Rui Mano
|
| 发表日期 | 2014-07-13
|
| 出版年 | 2014
|
| 语种 | 英语
|
| 摘要 | Separate literatures study violations of uncovered interest parity (UIP) using regression-based and portfolio-based methods. We propose a decomposition of these violations into a cross-currency, a between-time-and-currency, and a cross-time component that allows us to analytically relate regression-based and portfolio-based facts, and to estimate the joint restrictions they place on models of currency returns. Subject to standard assumptions on investors? information sets, we find that the forward premium puzzle (FPP) and the "dollar trade" anomaly are intimately linked: both are driven almost exclusively by the cross-time component. By contrast, the "carry trade" anomaly is driven largely by cross-sectional violations of UIP. The simplest model the data do not reject features across-sectional asymmetry that makes some currencies pay permanently higher expected returns than others, and larger time series variation in expected returns on the US dollar than on other currencies. Importantly, conventional estimates of the FPP are not directly informative about expected returns, because they do not correct for uncertainty about future mean interest rates. Once we correct for this uncertainty, we never reject the null that investors expect high-interest-rate currencies to depreciate, not appreciate. |
| 主题 | Financial Economics
; International Macroeconomics
|
| 关键词 | Risk premia in foreign exchange markets
Forward premium puzzle
Carry trade
|
| URL | https://cepr.org/publications/dp10060
|
| 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/538892
|
推荐引用方式
GB/T 7714 |
Tarek Hassan,Rui Mano. DP10060 Forward and Spot Exchange Rates in a Multi-currency World. 2014.
|
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