期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2018
出版社：European Central Bank
摘要：We assess the ability of yield curve factors to predict risk premia in short-terminterest rates and exchange rates across a large sample of major advanced economies.We nd that the same tick-shaped linear combination of (relative) bond yieldspredicts risk premia in both short-term interest rates and exchange rates at return-forecasting horizons of up to six months for all (but one) countries and currenciesin our sample. Our single forecasting factor loads positively on the short and longend of the curve and negatively on the medium-term and is therefore inverselyrelated to Nelson-Siegel's curvature factor. In line with recent interpretations ofthe yield curve factors, our ndings suggest that the hump of the yield curve bearsimportant information about future short-term interest rates. A relatively highcurvature predicts a surprise rise in short-term interest rates beyond expectationsand, coincidentally, an appreciation of the home currency in line with uncoveredinterest rate parity.
