货币套利、动量和全球利率波动性

IF 3.9 2区经济学 Q1 Economics, Econometrics and Finance

Journal of Financial and Quantitative Analysis Pub Date : 2023-12-27 DOI:10.1017/s0022109023001485

Ming Zeng

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引用次数: 0

摘要

货币利差和动量的回报弥补了全球利率波动（IRV）的风险，风险敞口解释了横截面回报变化的 92%。这种统一的解释源于其对外汇中介机构的影响。一个基于中介机构的汇率模型显示，全球 IRV 上升会增加未来风险承担的不确定性，并收紧当前的金融约束。头寸平仓会引发利差和动能的损失。其他实证结果也证实了这一经济渠道。全球 IRV 风险在其他货币策略和动量中的定价也是负面的。现有的不确定性或中介限制措施并不具有解释力。

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Currency Carry, Momentum, and Global Interest Rate Volatility

Returns to currency carry and momentum compensate for the risk of global interest rate volatility (IRV), with risk exposures explaining 92% of the cross-sectional return variations. This unified explanation stems from its impact on foreign exchange intermediaries. An intermediary-based exchange rate model shows that a higher global IRV increases the uncertainty of future risk-taking and tightens current financial constraints. Position unwinding triggers loss of carry and momentum. Additional empirical results confirm this economic channel. Global IRV risk is also negatively priced in other currency strategies and momentum. The explanatory power is not driven by existing measures of uncertainty or intermediary constraints.

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来源期刊

Journal of Financial and Quantitative Analysis Multiple-

CiteScore

6.60

自引率

5.10%

发文量

131

期刊介绍： The Journal of Financial and Quantitative Analysis (JFQA) publishes theoretical and empirical research in financial economics. Topics include corporate finance, investments, capital and security markets, and quantitative methods of particular relevance to financial researchers. With a circulation of 3000 libraries, firms, and individuals in 70 nations, the JFQA serves an international community of sophisticated finance scholars—academics and practitioners alike. The JFQA prints less than 10% of the more than 600 unsolicited manuscripts submitted annually. An intensive blind review process and exacting editorial standards contribute to the JFQA’s reputation as a top finance journal.