The Effect of Bond Spreads and Term Spreads on Exchange Rates Dynamics
學年 109
學期 2
出版（發表）日期 2021-03-31
作品名稱 The Effect of Bond Spreads and Term Spreads on Exchange Rates Dynamics
作品名稱（其他語言）
著者 Shan-Ying Kung, Kai-Li Wang, An-Chi Wu, Mei-Chih Wang
單位
出版者
著錄名稱、卷期、頁數 Review of Securities and Futures Markets, 33(1),P1-51
摘要 This article considers the impact of bond spreads and term spreads on exchange rate dynamics. It compares Northeast Asia and Southeast Asia, considers different economic structure periods, and analyzes the impact of bond dynamics on exchange rate dynamics. Among them, the empirical results show that: First, the impact of bond spreads on exchange rates is mainly reflected in changes in different structural periods. In addition to the positive estimates of Northeast Asian countries during the financial crisis period, bond spreads generally show negative and significant estimates of exchange rates in other structural periods. Secondly, the impact of the term spread on the exchange rate is mainly reflected in the differences in the economic constitutions of different regions. The Northeast Asian countries are generally affected by the risk premium to obtain negative results, while the Southeast Asian countries are mostly positively affected by inflation Estimates. Moreover, regarding the impact of bond dynamics on exchange rate spreads, empirical results show that bond spreads have significant explanatory power for exchange rate spreads in the early stages of the financial crisis, the financial crisis period, and the U.S. interest rate rise period. However, the impact of term spreads on exchange rate spreads is mainly reflected in the pre-financial crisis period and the financial crisis period. The results of this paper confirm the ability of bond dynamics to predict the dynamics of exchange rates, and that countries in different regions have different effects in different structural periods, confirming the necessity of considering the discussion of different regions and different structural periods in this paper.
關鍵字 Bond Spreads, Term Spreads, Bond Dynamics, Exchange Rate Spreads, Non-deliverable Forward Exchange Rates
語言 zh_TW
ISSN 1023-280X
期刊性質 國內
收錄於 TSSCI THCI Core
產學合作
通訊作者 吳安琪
審稿制度 否
國別 TWN
公開徵稿
出版型式 ,電子版
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機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/122607 )

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