Monetary Policy Predicts Currency Movements
Prof. Yan XU
Professor of Finance, The University of Hong Kong
Date: 14 January 2025 (Tuesday)
Time: 10:30 – 12:00
Venue: E22-G008
Host: Prof. Lianjie SHU, Professor in Business Intelligence and Analytics
Abstract
The relative restrictiveness of a central bank’s supply of money predicts the raw and risk-adjusted returns of its currency － both next month and at least three years into the future. Archived data, known by currency traders at the time, estimates central bank restrictiveness as a scaling of the residual from out-of-sample panel regressions of M1 on macroeconomic variables tied to domestic and international transaction requirements. Carry’s ability to forecast currency returns is subsumed by the central bank restrictiveness signal, which also forecasts inflation.
Speaker
Dr. XU received his Ph.D. from the University of South Carolina in 2007. He joined The University of Hong Kong (HKU) as an Associate Professor of Finance in 2013. Prior to joining HKU, Yan had worked as a quantitative research analyst in State Street Global Advisors and had been an Assistant Professor of Finance in the University of Rhode Island from 2008 to 2013.
Dr. XU’s main research interests are international financial markets, empirical asset pricing, applied time-series analysis, financial development and economic growth. His research was published in academic journals such as Journal of Financial Economics, Review of Financial Studies, and Journal of Financial and Quantitative Analysis.
All are welcome!
