套利交易、汇率和国际收支

Q3 Economics, Econometrics and Finance

Journal of Globalization and Development Pub Date : 2021-06-01 DOI:10.1515/jgd-2021-0029

Nelson H. Barbosa-Filho

{"title":"套利交易、汇率和国际收支","authors":"Nelson H. Barbosa-Filho","doi":"10.1515/jgd-2021-0029","DOIUrl":null,"url":null,"abstract":"Abstract This paper presents a partial equilibrium model that integrates interest rate arbitrage with the balance-of-payments constraint to determine the real exchange rate. The sequential logic is the following: (i) carry-trade determines the term premium, with the spot rate showing greater volatility than the forward rate, (ii) uncovered interest rate parity determines the spot rate based on the real exchange rate consistent with a financial constraint, defined as a stable ratio of foreign reserves to foreign debt; and (iii) the trade balance consistent with the financial constraint determines the long-run real exchange rate for a given ratio of domestic to foreign income.","PeriodicalId":38929,"journal":{"name":"Journal of Globalization and Development","volume":"12 1","pages":"103 - 116"},"PeriodicalIF":0.0000,"publicationDate":"2021-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Carry Trade, Exchange Rates, and the Balance-of-Payments\",\"authors\":\"Nelson H. Barbosa-Filho\",\"doi\":\"10.1515/jgd-2021-0029\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Abstract This paper presents a partial equilibrium model that integrates interest rate arbitrage with the balance-of-payments constraint to determine the real exchange rate. The sequential logic is the following: (i) carry-trade determines the term premium, with the spot rate showing greater volatility than the forward rate, (ii) uncovered interest rate parity determines the spot rate based on the real exchange rate consistent with a financial constraint, defined as a stable ratio of foreign reserves to foreign debt; and (iii) the trade balance consistent with the financial constraint determines the long-run real exchange rate for a given ratio of domestic to foreign income.\",\"PeriodicalId\":38929,\"journal\":{\"name\":\"Journal of Globalization and Development\",\"volume\":\"12 1\",\"pages\":\"103 - 116\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2021-06-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Globalization and Development\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1515/jgd-2021-0029\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"Economics, Econometrics and Finance\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Globalization and Development","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1515/jgd-2021-0029","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"Economics, Econometrics and Finance","Score":null,"Total":0}

引用次数: 0

摘要

摘要本文提出了一个部分均衡模型，将利率套利与国际收支约束相结合来确定实际汇率。顺序逻辑如下：（i）套利交易决定了期限溢价，即期汇率比远期汇率表现出更大的波动性，（ii）未覆盖利率平价决定了基于符合金融约束的实际汇率的即期汇率，定义为外汇储备与外债的稳定比率；以及（iii）与金融约束一致的贸易平衡决定了给定国内外收入比率的长期实际汇率。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Carry Trade, Exchange Rates, and the Balance-of-Payments

Abstract This paper presents a partial equilibrium model that integrates interest rate arbitrage with the balance-of-payments constraint to determine the real exchange rate. The sequential logic is the following: (i) carry-trade determines the term premium, with the spot rate showing greater volatility than the forward rate, (ii) uncovered interest rate parity determines the spot rate based on the real exchange rate consistent with a financial constraint, defined as a stable ratio of foreign reserves to foreign debt; and (iii) the trade balance consistent with the financial constraint determines the long-run real exchange rate for a given ratio of domestic to foreign income.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Journal of Globalization and Development Economics, Econometrics and Finance-Economics, Econometrics and Finance (all)

CiteScore

1.20

自引率

0.00%

发文量

期刊介绍： The Journal of Globalization and Development (JGD) publishes academic research and policy analysis on globalization, development, and in particular the complex interactions between them. The journal is dedicated to stimulating a creative dialogue between theoretical advances and rigorous empirical studies to push forward the frontiers of development analysis. It also seeks to combine innovative academic insights with the in-depth knowledge of practitioners to address important policy issues. JGD encourages diverse perspectives on all aspects of development and globalization, and attempts to integrate the best development research from across different fields with contributions from scholars in developing and developed countries. Topics: -Economic development- Financial investments- Development Aid- Development policies- Growth models- Sovereign debt