| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13835 |
| DP13835 Forward-Looking Policy Rules and Currency Premia | |
| Mark Taylor; Ilias Filippou | |
| 发表日期 | 2019-07-01 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | We evaluate the cross-sectional predictive ability of a forward-looking monetary policy reaction function, or Taylor rule, in both statistical and economic terms. We find that investors require a premium for holding currency portfolios with high implied interest rates while currency portfolios with low implied rates offer negative currency excess returns. Our forward-looking Taylor rule signals are orthogonal to current nominal interest rates and disconnected from carry trade portfolios and other currency investment strategies. The profitability of the Taylor rule portfolio spread is mainly driven by inflation forecasts rather than the output gap and is robust to data snooping and a wide range of robustness checks. |
| 主题 | Financial Economics ; International Macroeconomics and Finance |
| 关键词 | Foreign exchange Currency risk premium Taylor rules Data snooping bias |
| URL | https://cepr.org/publications/dp13835 |
| 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/542710 |
| 推荐引用方式 GB/T 7714 | Mark Taylor,Ilias Filippou. DP13835 Forward-Looking Policy Rules and Currency Premia. 2019. |
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