Commodity Trade and the Carry Trade: A Tale of Two Countries
研究了商品出口国与制成品出口国之间利率差异如何驱动利差交易盈利，构建了一般均衡模型解释商品货币汇率与风险溢价，并用数据验证了预测。
ABSTRACT Persistent interest rate differentials account for much of the currency carry trade profitability. “Commodity currencies” offer high interest rates on average, while countries that export finished goods tend to have low interest rates. We develop a general equilibrium model of international trade and currency pricing where countries have an advantage in producing either basic inputs or final goods. In the model, domestic production insulates commodity‐producing countries from global productivity shocks, forcing final‐good producers to absorb them. Commodity‐currency exchange rates and risk premia increase with productivity differentials and trade frictions. These predictions are strongly supported in the data.