FX Comovements and Their Economic Determinants
建模了外汇超额收益相关性的高频和低频动态成分，发现低频联动成分与美国经济周期反向，受经济增长、通胀波动和经济政策不确定性影响，同时个体波动率也受通胀、货币政策、产出增长、贸易和资本流动驱动。
Abstract This article models high- and low-frequency dynamic components of FX excess return correlations and examines their relationship with economic fundamentals. A factor pricing model with time-varying betas is used to characterize these correlations. From the low-frequency components, an aggregate comovement measure is derived. This component is countercyclical relative to the U.S., as it is negatively related to economic growth and positively related to both inflation volatility and economic policy uncertainty. Idiosyncratic volatilities also drive currency comovements. I examine their cross-sectional variation and find significant impacts of inflation levels, monetary policy variables, real output growth, trade, and capital flows.