Exchange Rates and Monetary Policy Uncertainty
研究发现，在美联储公开市场委员会预定公告日，做空美元、做多其他货币的交易策略能获得显著的超额收益，且该收益与利率差、货币政策不确定性及宽松政策正相关，可视为对货币政策不确定性的补偿。
ABSTRACT We document that a trading strategy that is short the U.S. dollar and long other currencies exhibits significantly larger excess returns on days with scheduled Federal Open Market Committee (FOMC) announcements. We show that these excess returns (i) are higher for currencies with higher interest rate differentials vis‐à‐vis the United States, (ii) increase with uncertainty about monetary policy, and (iii) increase further when the Federal Reserve adopts a policy of monetary easing. We interpret these excess returns as compensation for monetary policy uncertainty within a parsimonious model of constrained financiers who intermediate global demand for currencies.