The Share of Systematic Variation in Bilateral Exchange Rates

• 成果类型: Article
• 署名作者: Verdelhan, Adrien
• 署名单位: Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12587
• 发表日期: 2018
• 页码: 375-418
• 关键词: INTEREST-RATE PARITY; term structure; Currency risk; DYNAMICS; momentum; MARKETS; models; return; heteroskedasticity; equilibrium

摘要

Sorting countries by their dollar currency betas produces a novel cross section of average currency excess returns. A slope factor (long in high beta currencies and short in low beta currencies) accounts for this cross section of currency risk premia. This slope factor is orthogonal to the high-minus-low carry trade factor built from portfolios of countries sorted by their interest rates. The two high-minus-low risk factors account for 18% to 80% of the monthly exchange rate movements. The two risk factors suggest that stochastic discount factors in complete markets' models should feature at least two global shocks to describe exchange rates.