Housing Cycles and Exchange Rates
研究发现美国住宅投资与非住宅投资的比率能有效预测美元汇率长达12个季度，并通过模型和实证检验解释了这一预测能力背后的机制。
This paper documents that the ratio of residential-to-nonresidential investment is a strong in-sample and out-of-sample predictor for the dollar up to 12 quarters. The predictability is robust to a battery of additional checks and holds for other G10 currencies. We explain the predictability in an analytical model with time-varying housing preference, productivity, and volatility. In the model, the U.S. housing investment share is higher during periods with higher growth and lower uncertainty, corresponding to lower future nontradable prices, dollar index, and excess returns. We find strong empirical support for the channel. Alternative explanations, including the business and financial cycle, find less empirical support. This paper was accepted by David Sraer, finance. Supplemental Material: The data files and online appendix are available at https://doi.org/10.1287/mnsc.2023.4932 .