| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w25714 |
| 来源ID | Working Paper 25714 |
| Monetary Policy and Exchange Rate Returns: Time-Varying Risk Regimes | |
| Charles W. Calomiris; Harry Mamaysky | |
| 发表日期 | 2019-04-01 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | We develop an empirical model of exchange rate returns, applied separately to samples of developed (DM) and developing (EM) economies’ currencies against the dollar. Monetary policy stance of the global central banks, measured via a natural-language-based approach, has a large effect on exchange rate returns over the ensuing year, is closely linked to the VIX, and becomes increasingly important in the post-crisis era. We document an important spillover effect: monetary policy of the Bank of England, the Bank of Japan and the ECB is as important as Fed policy in forecasting currency returns against the dollar. In the post-crisis era, a one standard deviation increase in dovishness of all four central banks forecasts a 5.8% (4.0%) one-year excess return of DM (EM) currencies. Furthermore, we find that the relation between a DM country’s interest rate differential relative to the dollar (carry) and the future returns from investing in its currency switches sign from the pre- to the post-crisis subperiod, while for EMs the carry variable is never a significant predictor of returns. The high profit from the carry trade for EM currencies reflects persistent country characteristics likely reflective of risk rather than the interest differential per se. While measures of global monetary policy stance forecast exchange rate returns against the dollar, they do not predict exchange rate returns against other base currencies. Results regarding returns from carry, however, are insensitive to the choice of the base currency. We construct a no-arbitrage pricing model which reconciles many of our empirical findings. |
| 主题 | Macroeconomics ; Money and Interest Rates ; International Economics ; International Finance ; Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w25714 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/583388 |
| 推荐引用方式 GB/T 7714 | Charles W. Calomiris,Harry Mamaysky. Monetary Policy and Exchange Rate Returns: Time-Varying Risk Regimes. 2019. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w25714.pdf（879KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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