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Currencies: Relative Yield Curves and the G-3 Currencies
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[摘要] the relative shape of the yield curves matters. in thinking how the shape of the us yield curve may affect the bilateral g-3 exchange rates, it is important to consider the relative shape of the yield curves. i suggest four scenarios with different implications for the g-3 currencies. the most likely outcome is: (1) neutral to positive for the usd index, (2) ambiguous for usd/jpy, but (3) negative for eur/usd.
the relative shape of the yield curves matters. in thinking how the shape of the us yield curve may affect the bilateral g-3 exchange rates, it is important to consider the relative shape of the yield curves. i suggest four scenarios with different implications for the g-3 currencies. the most likely outcome is: (1) neutral to positive for the usd index, (2) ambiguous for usd/jpy, but (3) negative for eur/usd. however, if i am wrong and a more severe version of 1994 materialises, the usd would be hurt.
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