Journal of Financial Economics·Volume 128, Issue 1·April 2018

产出的可交易性，商业周期和资产价格

作者：Mary Tian（Federal Reserve Board of Governors, Division of Monetary Affairs）

摘要：本文研究了一家公司的可交易性，即出口海外的产出比例，对1947年至2015年的商业周期的股票收益率的影响。即使在控制实际汇率之后，具有较高可交易性的公司也会有更多的周期性资产收益。做多可交易性最高的公司并做空可交易性最低的公司的投资组合回报可以预测实际美元汇率和交易量的变化。这种实证模式与主要由供应冲击驱动的可交易和非可交易商品对商业周期的相对价格调整一致。

关键词：可交易性，周期性，实际汇率，相对价格调整

Tradability of output, business cycles and asset prices

Mary Tian（Federal Reserve Board of Governors, Division of Monetary Affairs）

ABSTRACT

I examine the effect of a firm’s tradability, the proportion of output that is exported abroad, on its stock returns over business cycles from 1947–2015. Firms with higher tradability have more cyclical asset returns, even after controlling for the real exchange rate. Returns of a portfolio long on firms with the highest tradability and short on firms with the lowest tradability can predict changes in the real dollar exchange rate and trade volumes. The empirical patterns are consistent with the relative price adjustment of tradable and non-tradable goods to business cycles primarily driven by supply shocks.

Keywords：Tradability, Cyclicality, Real exchange rate, Relative price adjustment

原文链接：https://www.sciencedirect.com/science/article/pii/S0304405X18300412

翻译：何杉