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(3-30PM2:30)第471期岭南学术论坛(金融学系列Seminar)

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报告题目:Enhanced carry: Prospective interest rate differential and currency returns

报 告 人:许炎(香港大学 副教授)

主 持 人:周彤(中山大学岭南学院  特聘副研究员)

时      间:2018年3月30日(周五)下午14:30-16:00

地      点:岭南堂汪道涵会议室

语      言:英文

 

Abstract:

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.

 

报告人介绍:

Prof. Yan Xu’s main research areas are empirical asset pricing and financial econometrics. His papers are published in top academic journals including Journal of Financial Economics, Review of Financial Studies, and Journal of Financial and Quantitative Analysis.

https://www.fbe.hku.hk/staff/academic/detail/yan-xu

 

个人简介:/UploadFiles/xsbg/2018/3/201803270832455277.pdf

资料下载:/UploadFiles/xsbg/2018/3/201803270833027072.pdf

 

 

 

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