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• W3124192352 abstract "This paper proposes a new explanation for the failure of Uncovered Interest Parity (UIP) that rationalizes both the classic UIP puzzle and the evidence that the puzzle reverses direction at longer horizons. In the model, excess currency returns arise as compensation for endogenous fluctuations in bond convenience yield differentials. Due to the interaction of monetary and fiscal policy, the impulse response of the equilibrium convenience yield is nonmonotonic, which generates the reversal of the puzzle. The calibrated model fits exchange rate dynamics very well. I also find direct evidence linking convenience yields to excess currency returns. (JEL E43, E52, F31, F41, H63)" @default.
• W3124192352 created "2021-02-01" @default.
• W3124192352 creator A5057889850 @default.
• W3124192352 date "2020-04-01" @default.
• W3124192352 modified "2023-09-25" @default.
• W3124192352 title "Bond Convenience Yields and Exchange Rate Dynamics" @default.
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• W3124192352 doi "https://doi.org/10.1257/mac.20170391" @default.
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