Forward-Looking Policy Rules and Currency Premia
评估前瞻性泰勒规则在横截面上预测货币超额收益的能力，发现投资者要求高隐含利率货币组合的溢价，而低隐含利率组合产生负收益，且该策略盈利主要由通胀预测驱动。
Abstract We evaluate the cross-sectional predictive ability of a forward-looking monetary policy reaction function, or Taylor rule, in both statistical and economic terms. We find that investors require a premium for holding currency portfolios with high implied interest rates while currency portfolios with low implied rates offer negative currency excess returns. Our forward-looking Taylor rule signals are orthogonal to current nominal interest rates and disconnected from carry trade portfolios and other currency investment strategies. The profitability of the Taylor rule portfolio spread is mainly driven by inflation forecasts rather than the output gap and is robust to data snooping and a wide range of robustness checks.