摘要
无抛补利率平价理论认为,两国利率差额等于高息货币的预期贬值(升值)幅度,即从利差中获得的任何收益将恰好被汇率变动引起的资本损失所抵消,然而这一理论在现实中被无数次地证伪。从20世纪90年代以来,息差交易策略在国际市场盛行不衰。文章实证统计了息差交易的历史收益表现,并探讨了息差交易的市场条件及其对未来美元汇率走势的启示。
The theory of uncovered interest rate parity believes that the difference in interest rates between two countries will equal to the expected depreciation (appreciation) of the higher-yielding currency, i.e. any gains from the interest rate spread will be offset by the capital loss caused by exchange rate changes. However, this theory has been proved wrong on numerous occasions in reality. Since 1990s, carry trade has been very popular in the international market. The essay analyzes the historical performance of carry trade with empirical statistics, and discusses the market conditions for carry trade as well as its implications for the trend of the US dollar exchange rate in the future.
出处
《中国货币市场》
2019年第3期51-54,共4页
China Money
