WHAT DOES THE YIELD CURVE TELL US ABOUT EXCHANGE RATE PREDICTABILITY?

被引：67

作者：

Chen, Yu-Chin ^{[1
]}

Tsang, Kwok Ping ^{[2
]}

机构：

[1] Univ Washington, Seattle, WA 98195 USA

[2] Virginia Tech, Blacksburg, VA USA

来源：

REVIEW OF ECONOMICS AND STATISTICS | 2013年 / 95卷 / 01期

关键词：

TERM STRUCTURE MODELS; INTEREST-RATE PARITY; MONETARY-POLICY; EXPECTATIONS; REGRESSIONS; PUZZLES; TESTS; RISK;

D O I：

10.1162/REST_a_00231

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Since the term structure of interest rates embodies information about future economic activity, we extract relative Nelson-Siegel (1987) factors from cross-country yield curve differences to proxy expected movements in future exchange rate fundamentals. Using monthly data for the United Kingdom, Canada, Japan, and the United States, we show that the yield curve factors predict exchange rate movements and explain excess currency returns one month to two years ahead. Our results provide support for the asset pricing formulation of exchange rate determination and offer an intuitive explanation to the uncovered interest parity puzzle by relating currency risk premiums to inflation and business cycle risks.

引用

页码：185 / 205

页数：21

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