Current Account Uncertainty and Currency Premia

• 成果类型: Article
• 署名作者: Della Corte, Pasquale; Krecetovs, Aleksejs
• 署名单位: Imperial College London; Imperial College London
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2023.4949
• 发表日期: 2024
• 页码: 5795-5815
• 关键词: Analyst forecasts; Carry trade; Currency risk premia; Global imbalances; macro uncertainty

摘要

We empirically study the relationship between currency excess returns and current account uncertainty, measured as forecast dispersion. We find that investment currencies deliver low returns, whereas funding currencies offer a hedge when current account uncertainty is unexpectedly high. Moreover, an increase in current account uncertainty is associated with higher expected future excess returns on investment currencies. This mechanism is consistent with the recent advances in exchange rate theory based on capital flows in imperfect financial markets.