Sovereign momentum currency returns

IF 7.5 1区经济学 Q1 BUSINESS, FINANCE

International Review of Financial Analysis Pub Date : 2024-11-01 DOI:10.1016/j.irfa.2024.103472

Giovanni Calice , Ming-Tsung Lin

引用次数: 0

Abstract

We study the relationship between cross-sectional sovereign credit risk and currency spot prices. We find that past (up to 12-month average) sovereign credit risk, measured by sovereign credit default swap (CDS) spreads, predict future currency spot returns. In particular, we document a significant cross-sectional currency portfolio spread in excess of the risk-free rate of return (up to 9.6% p.a.) between the highest and the lowest quintile sovereign CDS spreads. Overall, our results indicate that sovereign credit risk is systematically important for currency returns. Moreover, the level of sovereign credit risk has a persistent effect on currency returns which is consistent with a sovereign momentum effect.

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主权动量货币回报

我们研究了横截面主权信用风险与货币现货价格之间的关系。我们发现，以主权信用违约掉期（CDS）利差衡量的过去（最多 12 个月平均值）主权信用风险可以预测未来的货币现货回报。特别是，我们发现在最高和最低五分位数的主权信用违约掉期利差之间，货币投资组合的横截面利差大大超过了无风险收益率（年均高达 9.6%）。总体而言，我们的研究结果表明，主权信用风险对货币回报率具有系统性的重要影响。此外，主权信用风险水平对货币回报率有持续影响，这与主权动量效应是一致的。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

International Review of Financial Analysis BUSINESS, FINANCE-

CiteScore

10.30

自引率

9.80%

发文量

366

期刊介绍： The International Review of Financial Analysis (IRFA) is an impartial refereed journal designed to serve as a platform for high-quality financial research. It welcomes a diverse range of financial research topics and maintains an unbiased selection process. While not limited to U.S.-centric subjects, IRFA, as its title suggests, is open to valuable research contributions from around the world.