| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP11324 |
| DP11324 Currency Value | |
| LUCIO SARNO; Lukas Menkhoff; Maik Schmeling; Paul Schrimpf | |
| 发表日期 | 2016-06-11 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | We assess the properties of currency value strategies based on real exchange rates. We find that real exchange rates have predictive power for the cross-section of currency excess returns. However, adjusting real exchange rates for key country-specific fundamentals (productivity, the quality of export goods, net foreign assets, and output gaps) better isolates information related to the currency risk premium. In turn, the resulting measure of currency value displays considerably stronger predictive power for currency excess returns. Finally, the predictive information content in our currency value measure is distinct from that embedded in popular currency strategies, such as carry and momentum. |
| 主题 | Financial Economics ; International Macroeconomics and Finance |
| 关键词 | Currency value Macro fundamentals Real exchange rate Predictability |
| URL | https://cepr.org/publications/dp11324 |
| 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/540140 |
| 推荐引用方式 GB/T 7714 | LUCIO SARNO,Lukas Menkhoff,Maik Schmeling,et al. DP11324 Currency Value. 2016. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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