Current Account Uncertainty and Currency Premia
实证研究了货币超额收益与经常账户不确定性（以预测离散度衡量）的关系，发现投资货币在不确定性意外升高时回报低，而融资货币提供对冲；不确定性上升预示投资货币未来超额收益增加。
We empirically study the relationship between currency excess returns and current account uncertainty, measured as forecast dispersion. We find that investment currencies deliver low returns, whereas funding currencies offer a hedge when current account uncertainty is unexpectedly high. Moreover, an increase in current account uncertainty is associated with higher expected future excess returns on investment currencies. This mechanism is consistent with the recent advances in exchange rate theory based on capital flows in imperfect financial markets. This paper was accepted by Gustavo Manso, finance. Funding: A. Krecetovs thanks the Brevan Howard Centre at Imperial College London for financial support. Supplemental Material: The data files and online appendix are available at https://doi.org/10.1287/mnsc.2023.4949 .