Commodity Trade and the Carry Trade: A Tale of Two Countries

• 成果类型: Article
• 署名作者: Ready, Robert; Roussanov, Nikolai; Ward, Colin
• 署名单位: University of Oregon; University of Pennsylvania; National Bureau of Economic Research; University of Minnesota System; University of Minnesota Twin Cities
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12546
• 发表日期: 2017
• 页码: 2629-2684
• 关键词: purchasing power parity; real exchange-rates; Currency risk; cross-section; COSTS; equilibrium; consumption; DYNAMICS; prices; time

摘要

Persistent interest rate differentials account for much of the currency carry trade profitability. Commodity currencies offer high interest rates on average, while countries that export finished goods tend to have low interest rates. We develop a general equilibrium model of international trade and currency pricing where countries have an advantage in producing either basic inputs or final goods. In the model, domestic production insulates commodity-producing countries from global productivity shocks, forcing final-good producers to absorb them. Commodity-currency exchange rates and risk premia increase with productivity differentials and trade frictions. These predictions are strongly supported in the data.