What Does the Yield Curve Tell Us About Exchange Rate Predictability?
2009/03/10
研討會日期 : 2009-03-10
時間 : 14:30
主講人 : 陳宇岑 助理教授
地點 : B110
演講者簡介 : 陳宇岑教授為 Ph.D. in Economics，Harvard University (2002)。目前為 Assistant Professor, Department of Economics, University of Washington in Seattle。其主要研究領域為International Finance、Macroeconomics及International Trade。
演講摘要 : This paper uses information contained in the cross-country yield curves to test the asset-pricing approach to exchange rate determination, which models the nominal exchange rate as the discounted present value of its expected future fundamentals. Research on the term structure of interest rates has long argued that the yield curve contains information about future economic activity such as GDP growth and inflation. Bringing this lesson to the international context, we extract the Nelson-Siegel (1987) factors of relative level, slope, and curvature from cross-country yield differences to proxy expected movements in future exchange rate fundamentals. Using monthly data between 1985-2005 for the United Kingdom, Canada, Japan and the US, we show that the yield curve factors can explain and predict bilateral exchange rate movements and excess currency returns one month to two years ahead. Out-of-sample analysis also shows the yield curve factors to outperform a random walk in forecasting short-term exchange rate returns. Our findings have intuitive economic interpretations and offer an explanation to the uncovered interest parity puzzle.
