日元/美元套利交易及其与其他市场的因果联系
Yen/USD Carry Trade and Its Causal Links with Other Markets
摘要: 本研究分析了日本日元/澳大利亚美元(JPY/AUD)携带贸易和相关金融变量的因果结构。本文采用三种因果搜索算法来寻找日元/美元汇率、标准普尔500指数、日经225指数、澳大利亚证券交易所200指数、10年期美国国债、10年期日本政府债券和10年期澳大利亚政府债券之间的关系。所有三种算法的结果都提供了与无抛补利率平价理论相违背的证据。
Abstract: This study analyzes the causal structure of JPY/AUD carried trade and related financial variables. This paper uses three causal search algorithms to find the relationship between the Yen/USD exchange rate, the S&P 500 Index, the Nikkei 225 Index, the ASX 200 Index, the 10-year US Treasury, the 10-year Japanese Government Bond and the 10-year Australian Government Bond. The results of all three algorithms provide evidence that contradicts the theory of interest rate parity without covering.
文章引用：徐尚. 日元/美元套利交易及其与其他市场的因果联系[J]. 应用数学进展, 2021, 10(5): 1522-1530. https://doi.org/10.12677/AAM.2021.105162

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