主 题：Enhanced Carry: Prospective Interest Rate Differential and Currency Returns
内容简介:Following Engel (2011), we model the exchange rate using a present-value relationship, and show that the transitory component of spot exchange rate is the sum of expected foreign currency excess returns and ‘prospective interest rate differential’ – the infinite sum of expected future interest rate differentials. We construct the prospective interest rate differential using information in the term structure of interest rates via a pricing kernel decomposition approach. We find that the prospective interest rate differential is a stronger predictor of currency excess returns than the conventional carry signal. The prospective currency factors are also useful in accounting for the returns of currency carry and momentum portfolios.
时 间：2017-05-04 10:00