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Macroeconomic Determinants of Carry Trade Activity

机译：开展贸易活动的宏观经济决定因素

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摘要

Carry trades—popular strategies in the foreign exchange market—are long positions in high interest rate currencies financed through funds borrowed from low interest rate currencies. It has been shown for a number of bilateral exchange rates vis-d-vis the US dollar that shocks to interest rate differentials foster carry trade activity and lead to significant changes in the foreign exchange level. This paper considers which (or which combination of) structural shocks can be consistent with the implications of such an interest rate differential shock that has been identified in previous studies. It is especially demand and confidence shocks, rather than supply or monetary policy shocks, which are found to generate effects similar to those produced by an unexpected widening of the interest rate differential and overall lead to longer-term gains from carry trade activity. Also provided is a measure of the potential gain/losses experienced by the actual positioning of market participants in the foreign exchange futures and conditional on the knowledge of the macroeconomic shock that occurred at the time of positioning.
机译：随身交易是外汇市场上的热门策略，它们是高利率货币的多头头寸，这些高利率货币是通过从低利率货币借来的资金来融资的。对于一些相对于美元对美元的双边汇率，已经表明，利率差异的冲击促进套利交易活动，并导致外汇水平发生重大变化。本文考虑了哪些（或哪种组合）结构性冲击与先前研究中已经确定的这种利率差异冲击的含义是一致的。尤其是需求和信心冲击，而不是供应或货币政策冲击，其产生的效果类似于利率差的意外扩大所产生的效果，并且总体上导致套利交易活动产生长期收益。还提供了对市场参与者在外汇期货中的实际定位所经历的潜在损益的度量，并以在定位时发生的宏观经济冲击的知识为条件。

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  • 来源
    《Review of international economics》 |2012年第3期|p.468-488|共21页
  • 作者

    Alessio Anzuini; Fabio Fornari;

  • 作者单位

    Fornari, European Central Bank, Kaiserstrasse 29,60311 Frankfurt am Main, Germany;

    Economic Research Department, Bank of Italy;

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  • 正文语种 eng
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