Econ Papers Daily / 期刊论文
探究商品货币可预测性的内在机制
Looking Under the Hood of Commodity Currency Predictability
摘要
This paper revisits the exchange rate predictability of commodity currencies through the lens of market efficiency. Focusing on currencies with strong contemporaneous exposure to commodity prices, we show that changes in country-specific commodity export or import prices predict exchange rate fluctuations both in sample and out of sample. We establish four empirical facts: (i) the sign of the predictive relationship runs counter to standard risk-based explanations; (ii) predictability is concentrated at short horizons; (iii) predictability is driven by a small set of thinly traded currencies; and (iv) even sophisticated speculative traders adjust positions sluggishly in response to commodity price shocks in these currencies. Together, these findings suggest that predictability arises from the slow incorporation of information in less actively traded currencies, which is likely due to liquidity and position-building constraints, rather than from compensation for risk. The results also clarify the sources of commodity-based predictability in carry trade returns. This paper was accepted by Lukas Schmid, finance. Supplemental Material: The online appendix and data files are available at https://doi.org/10.1287/mnsc.2024.07249 .
中文摘要
本文从市场效率的视角重新审视商品货币的汇率可预测性。聚焦于与商品价格具有强同期暴露的货币，我们表明国别商品出口或进口价格的变化在样本内和样本外均能预测汇率波动。我们确立了四个经验事实：（i）预测关系的符号与标准的基于风险的解释相悖；（ii）可预测性集中于短期期限；（iii）可预测性由少数交易清淡的货币驱动；（iv）即使是成熟的投机交易者，在面对这些货币的商品价格冲击时也会迟缓地调整头寸。综合来看，这些发现表明可预测性源于信息在交易较不活跃的货币中被缓慢纳入，这很可能归因于流动性和建仓约束，而非风险补偿。研究结果还厘清了利差交易收益中基于商品的可预测性的来源。本文由金融学编辑Lukas Schmid接收。补充材料：在线附录和数据文件可在https://doi.org/10.1287/mnsc.2024.07249获取。