【IEF Seminar 10】A.P.  Yan Xu: Enhanced Carry: Prospective Interest Rate Differential and Currency Returns
发布时间:2017-05-08  浏览次数:[浏览次数]
  IEF Daisy Huang

On the morning of May 4, Associate Professor Yan Xu of the University of Hong Kong held a seminar entitled "Enhanced Carry: Prospective Interest Rate Differential and Currency Returns". Faculty members from different departments of Nanjing Audit University attended the seminar. 

Professor Xu first pointed out a puzzle in the foreign exchange market: carry trade can generate abnormal return. Then, he introduced his own currency pricing model based on the classic LRV and MSSS models. He and his coauthors introduced a new return predict factor: the prospective interest rate differential. Their model with the new return predictor outperforms the classical models in a horse racing. Professor Xu’s talk is closely related to the real financial market. But the way he presented it made researchers from all backgrounds can appreciate it.