利差平价：一种估计中性区间的预测方法

IF 4.2 2区经济学 Q1 ECONOMICS

Economic Modelling Pub Date : 2025-03-26 DOI:10.1016/j.econmod.2025.107076

Juan R. Hernández

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引用次数: 0

摘要

本文介绍了一种估计中性区间的新方法，其中偏离覆盖利率平价（CIP）不被认为是有利可图的套利机会。该方法填补了国际金融文献的空白，具有理论基础。使用2000年至2021年的每日英镑-美元数据，我说明了基于带有时变方差成分的CIP偏差预测分布的估计优于目前可用的基于均值的估计。结果显示，估计的中性区间适应市场动态，随着金融压力和波动性的增加，从3个基点扩大到191个基点。预测方法在十国集团和新兴市场货币对上得到进一步验证。市场参与者可以利用这些发现来设定CIP交易的最低利润目标，而政策制定者可以更有效地评估外汇市场的流动性。

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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Covered interest parity: A forecasting approach to estimate the neutral band

This paper introduces a new approach to estimate the neutral band, where deviations from covered interest parity (CIP) are not considered profitable arbitrage opportunities. The approach fills a gap in the literature on international finance and is theoretically grounded. Using daily Pound Sterling-US Dollar data from 2000 to 2021, I illustrate that estimates based on the forecast distribution of CIP deviations with a time-varying variance component are superior to the mean-based estimates currently available. The results reveal that the estimated neutral band adapts to market dynamics, widening from 3 to 191 basis points as financial stress and volatility increase. The forecasting approach is further validated on G10 and emerging market currency pairs. Market participants can use these findings to set minimum profit targets in CIP trading, while policymakers can assess the liquidity of the foreign exchange market more effectively.

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来源期刊

Economic Modelling ECONOMICS-

CiteScore

8.00

自引率

10.60%

发文量

295

期刊介绍： Economic Modelling fills a major gap in the economics literature, providing a single source of both theoretical and applied papers on economic modelling. The journal prime objective is to provide an international review of the state-of-the-art in economic modelling. Economic Modelling publishes the complete versions of many large-scale models of industrially advanced economies which have been developed for policy analysis. Examples are the Bank of England Model and the US Federal Reserve Board Model which had hitherto been unpublished. As individual models are revised and updated, the journal publishes subsequent papers dealing with these revisions, so keeping its readers as up to date as possible.