The first arrow hitting the currency target: A long-run risk perspective

Journal of International Money and Finance（2017）

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摘要

•Exchange rate outcome of the first arrow of Abenomics is revisited.•Term structure of the Fama coefficients shifts up and becomes steeper.•A long-run risk model mimics the structural change in the term structure.•U.S. macro policy uncertainty generates the JPY depreciation after the first arrow.

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关键词

Japanese yen/U.S. dollar exchange rate,Term structure,Fama regression,Long-run risk,Abenomics

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