What Does the Yield Curve Tell Us about Exchange Rate Predictability?
从跨国收益率曲线差异中提取Nelson-Siegel因子，预测未来汇率变动，并解释未抛补利率平价之谜，对研究汇率决定和货币风险的学者有用。
Since the term structure of interest rates embodies information about future economic activity, we extract relative Nelson-Siegel (1987) factors from cross-country yield curve differences to proxy expected movements in future exchange rate fundamentals. Using monthly data for the United Kingdom, Canada, Japan, and the United States, we show that the yield curve factors predict exchange rate movements and explain excess currency returns one month to two years ahead. Our results provide support for the asset pricing formulation of exchange rate determination and offer an intuitive explanation to the uncovered interest parity puzzle by relating currency risk premiums to inflation and business cycle risks. © 2013 The President and Fellows of Harvard College and the Massachusetts Institute of Technology.