Currency Value

• 成果类型: Article
• 署名作者: Menkhoff, Lukas; Sarno, Lucio; Schmeling, Maik; Schrimpf, Andreas
• 署名单位: Leibniz Association; DIW Berlin - Deutsches Institut fur Wirtschaftsforschung; Humboldt University of Berlin; City St Georges, University of London
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhw067
• 发表日期: 2017
• 页码: 416
• 关键词: purchasing power parity; real exchange-rates; monetary-policy; foreign-assets; Taylor rules; Carry trade; RISK; MARKETS; premia; returns

摘要

We assess the properties of currency value strategies based on real exchange rates. We find that real exchange rates have predictive power for the cross-section of currency excess returns. However, adjusting real exchange rates for key country-specific fundamentals (productivity, the quality of export goods, net foreign assets, and output gaps) better isolates information related to the currency risk premium. In turn, the resultant measure of currency value displays considerably stronger predictive power for currency excess returns. Finally, the predictive information content in our currency value measure is distinct from that embedded in popular currency strategies, such as carry and momentum.