Bond Convenience Yields and Exchange Rate Dynamics
提出新解释说明无抛补利率平价为何失效，认为超额货币收益源于债券便利收益率差异的内生波动，模型拟合汇率动态良好，并找到便利收益率与超额货币收益的直接证据。
This paper proposes a new explanation for the failure of Uncovered Interest Parity (UIP) that rationalizes both the classic UIP puzzle and the evidence that the puzzle reverses direction at longer horizons. In the model, excess currency returns arise as compensation for endogenous fluctuations in bond convenience yield differentials. Due to the interaction of monetary and fiscal policy, the impulse response of the equilibrium convenience yield is nonmonotonic, which generates the reversal of the puzzle. The calibrated model fits exchange rate dynamics very well. I also find direct evidence linking convenience yields to excess currency returns.