Emerging Markets Currency Factors and US High-Frequency Macroeconomic Shocks
利用美国国债收益率曲线和股市识别四种宏观经济冲击，发现它们解释了新兴市场货币回报超过40%的时序变化，并构建多空组合检验因子表现。
Relying on the structural vector autoregression developed by Cieslak and Pang, the authors identify four shocks to the US economy based on the US Treasury yield curve and the stock market: two fundamental news shocks (growth and money) and two risk-premium shocks (common and hedging). They find that these shocks explain over 40% of the time-series variation of emerging markets currency (EMFX) returns. Additionally, EMFX returns increase significantly with positive growth shocks and decrease with monetary tightening and risk-premium shocks. The authors show that growth and common shocks are priced in the cross section of EMFX, with a positive and negative risk premiums, respectively. They then build long–short currency portfolios based on several academically researched style factors and test their performance and relative exposure to the macroeconomic shocks affecting the US economy. They find that only carry and macro momentum long–short portfolios generate positive and significant alphas and excess returns over their sample. However, all single-factor portfolios have sizable exposure to the four shocks. The authors show that a simple multifactor approach to investing in EMFXs eliminates the exposure of excess returns to all macroeconomic shocks.