Liquidity and Exchange Rates: An Empirical Investigation

被引：10

作者：

Engel, Charles ^{[1
,2
,3
]}

Wu, Steve Pak Yeung ^{[4
]}

机构：

[1] Univ Wisconsin, Madison, WI 53706 USA

[2] NBER, Cambridge, MA 02138 USA

[3] CEPR, London, England

[4] Univ Calif San Diego, La Jolla, CA 92093 USA

来源：

REVIEW OF ECONOMIC STUDIES | 2023年 / 90卷 / 05期

基金：

美国国家科学基金会;

关键词：

Convenience yield; Liquidity; Meese-Rogoff puzzle; MONETARY-POLICY; RISK; DEVIATIONS; PREMIUM; DEMAND; DOLLAR; TRADE; MODEL;

D O I：

10.1093/restud/rdac072

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We find strong empirical evidence that the liquidity yield on government bonds in combination with standard economic fundamentals can well account for nominal exchange rate movements. We find impressive evidence that changes in the liquidity yield are significant in explaining exchange rate changes for all the G10 countries, and we stress that the US dollar is not special in this relationship. We show how these relationships arise out of a canonical two-country New Keynesian model with liquidity returns. Additionally, we find a role for sovereign default risk and currency swap market frictions.

引用

页码：2395 / 2438

页数：44

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