Exchange Rates and Monetary Policy Uncertainty

• 成果类型: Article
• 署名作者: Mueller, Philippe; Tahbaz-Salehi, Alireza; Vedolin, Andrea
• 署名单位: University of London; London School Economics & Political Science; Columbia University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12499
• 发表日期: 2017
• 页码: 1213-1252
• 关键词: currency risk; liquidity; MARKET

摘要

We document that a trading strategy that is short the U.S. dollar and long other currencies exhibits significantly larger excess returns on days with scheduled Federal Open Market Committee (FOMC) announcements. We show that these excess returns (i) are higher for currencies with higher interest rate differentials vis-a-vis the United States, (ii) increase with uncertainty about monetary policy, and (iii) increase further when the Federal Reserve adopts a policy of monetary easing. We interpret these excess returns as compensation for monetary policy uncertainty within a parsimonious model of constrained financiers who intermediate global demand for currencies.