Enhanced Carry: Prospective Interest Rate Differential and Currency Returns-许焱 (香港大学)

来源:6626net威尼斯人点击数:16更新时间:2017-04-25

主  题:Enhanced Carry: Prospective Interest Rate Differential and Currency Returns

内容简介:Following Engel (2011), we model the exchange rate using a present-value relationship, and show that the transitory component of spot exchange rate is the sum of expected foreign currency excess returns and ‘prospective interest rate differential’ – the infinite sum of expected future interest rate differentials. We construct the prospective interest rate differential using information in the term structure of interest rates via a pricing kernel decomposition approach. We find that the prospective interest rate differential is a stronger predictor of currency excess returns than the conventional carry signal. The prospective currency factors are also useful in accounting for the returns of currency carry and momentum portfolios.

报告人:许焱    副教授

时  间:2017-05-04    10:00

地  点:位育楼117室

举办单位:经济与金融研究院  科研部

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