| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15054 |
| DP15054 U.S. Populist Rhetoric and Currency Returns | |
| Ilias Filippou; Arie Gozluklu; My Nguyen; Mark Taylor | |
| 发表日期 | 2020-07-16 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | We develop a novel measure of U.S. populist rhetoric. Aggregate Populist Rhetoric (APR) Index spikes around populist events. We decompose the APR Index into sub-indices. We show that APR Index and International Relations sub-index are negatively priced in the cross-section of currency excess returns. Currencies that perform well (badly) when U.S. populist rhetoric is high yield low (high) expected excess returns. Investors require high risk premium for holding currencies which underperform in times of rising U.S. populist rhetoric, especially in the post-crisis period. A long-short strategy that buys (sells) currencies with high (low) exposure to U.S. populism offers strong diversification benefits. |
| 主题 | International Macroeconomics and Finance |
| 关键词 | Populism Foreign exchange market Textual analysis |
| URL | https://cepr.org/publications/dp15054 |
| 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/544007 |
| 推荐引用方式 GB/T 7714 | Ilias Filippou,Arie Gozluklu,My Nguyen,et al. DP15054 U.S. Populist Rhetoric and Currency Returns. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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