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