期刊
JOURNAL OF INTERNATIONAL MONEY AND FINANCE
卷 64, 期 -, 页码 62-87出版社
ELSEVIER SCI LTD
DOI: 10.1016/j.jimonfin.2016.02.013
关键词
Carry trade; Gradual information diffusion; Return predictability; Safe-haven currencies; Time-varying risk premium; Vector auto regression
Equity returns predict carry trade profits from shorting low interest rate currencies. Commodity price changes predict profits from longing high interest rate currencies. The gradual information diffusion hypothesis (Hong & Stein, 1999) provides a ready explanation for these predictability results. These results cannot be explained by time-varying risk premia as stock returns and commodity price changes significantly predict negative carry trade profits. The predictability is one-directional, from commodities to high interest rate currencies, from commodities to stocks and from stocks to low interest rate currencies. (C) 2016 Elsevier Ltd. All rights reserved.
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