期限溢价和汇率的数量驱动理论

IF 11.1 1区 经济学 Q1 ECONOMICS Quarterly Journal of Economics Pub Date : 2023-05-27 DOI:10.1093/qje/qjad024
Robin Greenwood, Samuel Hanson, Jeremy C Stein, Adi Sunderam
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引用次数: 0

摘要

我们开发了一个模型,在这个模型中,专业债券投资者必须吸收两种货币长期债券的供求冲击。由于长期债券和外汇都受到短期利率意外变动的影响,一种货币长期债券供应的变化会影响两种货币之间的汇率,以及两种货币的债券期限溢价。我们的模型匹配了几个重要的经验模式,包括汇率和期限溢价之间的变动,以及央行量化宽松政策影响汇率的发现。我们的模型的延伸将现货汇率与2008年以来出现的持续偏离覆盖利率平价联系起来。
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A Quantity-Driven Theory of Term Premia and Exchange Rates
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 comovement 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 links spot exchange rates to the persistent deviations from covered interest rate parity that have emerged since 2008.
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来源期刊
CiteScore
24.20
自引率
2.20%
发文量
42
期刊介绍: The Quarterly Journal of Economics stands as the oldest professional journal of economics in the English language. Published under the editorial guidance of Harvard University's Department of Economics, it comprehensively covers all aspects of the field. Esteemed by professional and academic economists as well as students worldwide, QJE holds unparalleled value in the economic discourse.
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