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How Important Are Policy Divergence and FX Risk Premiums?
出版International Monetary Fund, 2016-07-05
主題Business & Economics / Investments & Securities / GeneralBusiness & Economics / Foreign ExchangeBusiness & Economics / Banks & Banking
ISBN14983484169781498348416
URLhttp://books.google.com.hk/books?id=WqsYEAAAQBAJ&hl=&source=gbs_api
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註釋We investigate the drivers of dynamics of major U.S. FX bilaterals. We first construct a novel measure of FX risk premiums using Consensus exchange rate forecasts. We then use VAR analysis to show that (i) risk premium shocks play a key role in driving dynamics of the major U.S. FX bilaterals; (ii) longer-term interest differentials also matter, especially for the Canadian $ and the Euro; (iii) oil price shocks play a particularly important role for the Canadian $ (an oil exporter); and (iv) risk appetite shocks (e.g., VIX shocks) generally lead to U.S. dollar appreciation. The importance of risk premium and longer-term interest differential shocks fit well with a simple theoretical model and are supported by recent event studies.