| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w27615 |
| 来源ID | Working Paper 27615 |
| A Quantity-Driven Theory of Term Premia and Exchange Rates | |
| Robin Greenwood; Samuel G. Hanson; Jeremy C. Stein; Adi Sunderam | |
| 发表日期 | 2020-08-03 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | We develop a model in which specialized bond investors must absorb shocks to the supply and demand for long-term bonds in two currencies. Since long-term bonds and foreign exchange are both exposed to unexpected movements in short-term interest rates, a shift in the supply of long-term bonds in one currency influences the foreign exchange rate between the two currencies, as well as bond term premia in both currencies. Our model matches several important empirical patterns, including the co-movement between exchange rates and term premia, as well as the finding that central banks' quantitative easing policies impact exchange rates. An extension of our model sheds light on the persistent deviations from covered interest rate parity that have emerged since 2008. |
| 主题 | International Economics ; International Finance ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w27615 |
| 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/585287 |
| 推荐引用方式 GB/T 7714 | Robin Greenwood,Samuel G. Hanson,Jeremy C. Stein,et al. A Quantity-Driven Theory of Term Premia and Exchange Rates. 2020. |
| 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 | ||
| w27615.pdf（988KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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