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Oil market uncertainty and excess returns on currency carry trade
Research in International Business and Finance ( IF 6.143 ) Pub Date : 2021-01-21 , DOI: 10.1016/j.ribaf.2021.101391
Zhi Su , Xuan Mo , Libo Yin

This paper examines the role of oil market uncertainty on currency carry trade payoffs. We find that oil market uncertainty can impact currency carry trade excess returns. When oil market uncertainty rises, expected currency excess returns will increase. Our findings are robust to alternative measures of oil market uncertainty and, after controlling for traditional uncertainties, different types of oil shocks. The results also hold well in both developed and emerging markets, as well as for oil-related currencies, non-oil currencies, commodity currencies, and non-commodity currencies. Additionally, oil market uncertainty can be priced in the cross section of currency carry trade excess returns. This effect can be explained by investors becoming more risk averse under high oil market uncertainty and requiring greater compensation for bearing such risk. Moreover, our measure of oil market uncertainty, the downside risk from the oil market, is quite different from that of traditional aggregate measures.



中文翻译:

石油市场的不确定性和货币套利交易的超额收益

本文研究了石油市场不确定性对货币套利交易收益的作用。我们发现石油市场的不确定性会影响货币套利交易的超额收益。当石油市场不确定性增加时,预期货币超额收益将增加。我们的发现对于替代石油市场不确定性的衡量方法是有力的,并且在控制了传统不确定性之后,可以得出不同类型的石油冲击。该结果在发达市场和新兴市场以及与石油相关的货币,非石油货币,商品货币和非商品货币中也都不错。此外,石油市场的不确定性可以在货币套利交易超额收益的横截面上进行定价。可以解释这种影响的原因是,投资者在石油市场不确定性较高的情况下变得更加厌恶风险,并且需要承担更大的赔偿才能承担此类风险。此外,我们对石油市场不确定性的衡量方法(石油市场的下行风险)与传统的总量衡量方法大不相同。

更新日期:2021-01-29
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