Interest-Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk
用时间序列方法解决外汇市场参与者关心的两个问题：如何从货币篮子中提取未知权重，以及如何正确衡量时变权重给标准篮子对冲头寸带来的风险，并以泰铢篮子为例进行实证。
Abstract We use a time series modeling approach to address two related questions of interest to foreign-exchange market participants and policy makers dealing with basket currencies. First, how are unknown weights appropriately extracted from basket currencies? Second, how does one correctly account for the risk—in terms of conditional variance of expected profits—that time-varying weights add to the standard basket-hedge position? We suggest a methodology that can provide answers to these questions and apply it to the heavily traded Thai baht currency basket. KEY WORDS: Time-varying parametersCointegrationExchange rates