本文利用2005—2016年间26个经济体的季度跨国面板数据,考察流动性与日元套息交易收益及规模之间的关系。研究发现,无论是横截面上不同目标货币的流动性差异,还是同一目标货币流动性的动态变化上,流动性都对套息交易收益与规模具有显著的正向影响。这表明在同一时点的目标货币选择和同一目标货币的头寸动态调整上,套息交易都更偏好于高流动性的目标货币。再者,流动性对套息交易规模的影响存在着非对称性现象。相较于发展中国家,流动性在发达国家的影响程度更大;相较于流动性下降,流动性上升对套息交易规模变化的影响幅度更大。
Abstract
This paper examines the impact of liquidity on the volume and return of Yen carry trade using quarterly cross-country panel data of 26 economies from 2005 to 2016. It is found that liquidity has a significant and positive impact on carry trades both in the time-series and cross-section. It implies that carry traders would prefer to allocate more capital to target currencies with higher liquidity compared to other alternative currencies or its own past record. Moreover, it is found that liquidity effect is more influential in more developed economies and when liquidity is increasing.
关键词
流动性 /
套息交易 /
跨国面板数据
{{custom_keyword}} /
Key words
Liquidity /
Carry Trade /
Cross-country Panel Data
{{custom_keyword}} /
中图分类号：
F831
{{custom_clc.code}}
({{custom_clc.text}})
{{custom_sec.title}}
{{custom_sec.title}}
{{custom_sec.content}}
参考文献
[1] 韩剑. 全球套息交易的机制、根源及规模测量[J]. 经济学家,2011,9(9):86-94
[2] 彭述涛. 外汇套息交易及其对金融市场的影响[D]. 复旦大学,2009
[3] 张天顶,李洁. 全球流动性扩张的通货膨胀效应研究[J]. 国际金融研究,2011(3):18-28
[4] Anzuini A,Fornari F.Macroeconomic Determinants of Carry Trade Activity[J]. Review of International Economics,2012,20(3):468-488
[5] Belke A,Bordon I G,Volz U.Effects of Global Liquidity on Commodity and Food Prices[J]. World Development,2013,44(3):31-43
[6] Brunnermeier M K,Nagel S,Pedersen L H.Carry Trades and Currency Crashes[J]. Nber Chapters,2009,23(1):313-348
[7] Cantor R,Packer F.Determinants and Impact of Sovereign Credit Ratings[J]. Journal of Fixed Income,1996,1(Oct):37-53
[8] Cenedese G,Sarno L,Tsiakas I.Foreign Exchange Risk and the Predictability of Carry Trade Returns[J]. Journal of Banking & Finance,2014,42(1):302-313
[9] Fukuta Y,Saito M.Forward Discount Puzzle and Liquidity Effects:Some Evidence from Exchange Rates Among the United States,Canada,and Japan[J]. Journal of Money Credit & Banking,2002,34(4):1014-33
[10] Gagnon J,Chaboud A. What Can the Data Tell Us About Carry Trades in Japanese Yen?[J]. Ssrn Electronic Journal,2007(49)
[11] Galati G,Melvin M.Why Has FX Trading Surged?Explaining the 2004 Triennial Survey[J]. Social Science Electronic Publishing,2004
[12] Hattori M,Shin H S.Yen Carry Trade and the Subprime Crisis[J]. IMF Economic Review,2009,56(2):384-409
[13] Heath A,Galati G,Mcguire P.Evidence of Carry Trade Activity[J]. Bis Quarterly Review,2007
[14] Hui C H,Genberg H,Chung T K.Liquidity,Risk Appetite and Exchange Rate Movements during the Financial Crisis of 2007—2009[J]. Social Science Electronic Publishing,2009
[15] Mancini L,Ranaldo A,Wrampelmeyer J.Liquidity in the Foreign Exchange Market:Measurement,Commonality,and Risk Premiums[J]. The Journal of Finance,2013,68(5):1805-1841
[16] Nishigaki H.Relationship between the Yen Carry Trade and the Related Financial Variables[J]. General Information,2007,13(2):1-7
[17] Plantin G,Shin H S.Carry Trades and Speculative Dynamics[J]. Social Science Electronic Publishing,2007
[18] Shehadeh A,Li Y,Moore M.The Forward Premium Bias,Carry Trade Return and the Risks of Volatility and Liquidity[J]. SSRN Electronic Journal,2016
[19] Stillwagon J R.Non-linear Exchange Rate Relationships:An Automated Model Selection Approach with Indicator Saturation[J]. North American Journal of Economics & Finance,2016,37:84-109
[20] Vistesen C.Carry Trade Fundamentals and the Financial Crisis 2007—2010[J]. Journal of Applied Economic Sciences,2009,4(2):318-335
{{custom_fnGroup.title_cn}}
脚注
{{custom_fn.content}}
基金
*本文获国家自然科学基金青年项目“离岸人民币市场套息交易收益率的测度、影响因素及效应研究”（71403294）资助
{{custom_fund}}
京公网安备 11010202008337号
