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Implied volatility term structure and exchange rate predictability

机译：隐含波动率期限结构和汇率可预测性

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This paper provides empirical evidence of the predictive power of the currency implied volatility term structure (IVTS) for the behavior of the exchange rate from both cross-sectional and time series perspectives. Intriguingly, the direction of the prediction is not the same for developed and emerging markets. For developed markets, a high slope means low future returns, while for emerging markets it means high future returns. We analyze predictability from a cross-sectional perspective by building portfolios based on the slope of the term structure, and thus present a new currency trading strategy. For developed (emerging) currencies, we buy (sell) the two currencies with the lowest slopes and sell (buy) the two with the highest slopes. The proposed strategy performs better than common currency strategies - carry trade, risk reversal, and volatility risk premium (VRP) - based on the Sharpe ratio, considering only currency returns, which supports the exchange rate predictability of the IVTS from a cross-sectional perspective. (C) 2019 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved.
机译：本文从横截面和时间序列的角度提供了货币隐含波动率期限结构（IVTS）对汇率行为的预测能力的经验证据。有趣的是，发达市场和新兴市场的预测方向并不相同。对于发达市场，高斜率意味着较低的未来回报，而对于新兴市场，则意味着较高的未来回报。我们通过基于期限结构的斜率建立投资组合，从横截面的角度分析可预测性，从而提出一种新的货币交易策略。对于发达（新兴）货币，我们购买（出售）斜率最低的两种货币，并出售（购买）斜率最高的两种货币。拟议的策略比常规货币策略表现更好-持有贸易，风险逆转和波动率风险溢价（VRP）-基于夏普比率，仅考虑货币收益，从横截面角度来看支持IVTS的汇率可预测性。 （C）2019国际预报员学会。由Elsevier B.V.发布。保留所有权利。

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