A Preferred-Habitat Model of Term Premia, Exchange Rates, and Monetary Policy Spillovers
构建了一个两国模型，其中货币和债券市场由不同投资者群体参与，套利者资本有限导致市场部分分割。模型解释了风险溢价的时变性和跨市场关联，并分析了大规模债券购买和短期利率调整对国内外收益率及汇率的影响。
We develop a two-country model in which currency and bond markets are populated by different investor clienteles, and segmentation is partly overcome by arbitrageurs with limited capital. Risk premia in our model are time-varying, connected across markets, and consistent with the empirical violations of uncovered interest parity and expectations hypothesis. Through risk premia, large-scale bond purchases lower domestic and foreign bond yields and depreciate the currency, and short-rate cuts lower foreign yields, with smaller effects than bond purchases. Currency returns are disconnected from long-maturity bond returns, and yet the currency market is instrumental in transmitting bond demand shocks across countries.