دانلود مقاله ISI انگلیسی شماره 106414
ترجمه فارسی عنوان مقاله

اولین فلش هدف ارز: چشم انداز ریسک دراز مدت

عنوان انگلیسی
The first arrow hitting the currency target: A long-run risk perspective
کد مقاله سال انتشار تعداد صفحات مقاله انگلیسی
106414 2017 16 صفحه PDF
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Journal of International Money and Finance, Volume 74, June 2017, Pages 337-352

پیش نمایش مقاله
پیش نمایش مقاله  اولین فلش هدف ارز: چشم انداز ریسک دراز مدت

چکیده انگلیسی

This paper reconsiders the successful currency outcome of the first arrow of Abenomics. The Japanese yen depreciation against the U.S. dollar after the introduction of the first arrow co-moves tightly with long-term yield differentials between Japan and the United States. The estimated term structure of the sensitivity of the currency return of the Japanese yen to the two-country interest rate differential indeed shifts up and becomes steeper after the onset of Abenomics. To explain this structural change in the term structure of the Fama regression coefficient, we employ a long-run risk model endowed with real and nominal conditional volatilities as in Bansal and Shaliastovich (2013). Under a plausible calibration, the model replicates the structural change when nominal uncertainty dominates real uncertainty in the U.S. bond market. We conjecture that the arrow was shot off from the U.S. side, not the Japan side.