This article is only available to Macro Hive subscribers. Sign-up to receive world-class macro analysis with a daily curated newsletter, podcast, original content from award-winning researchers, cross market strategy, equity insights, trade ideas, crypto flow frameworks, academic paper summaries, explanation and analysis of market-moving events, community investor chat room, and more.
The Cross-Section of Currency Volatility Premia (Journal of Financial Economics, 18 page read) A zero-cost portfolio strategy that buys forward volatility agreements in currencies with the lowest implied volatility term structure slopes and sells those with the highest slopes (a volatility carry strategy) generates significant excess returns.
How Does International Capital Flow? (BoE, 43 page read) Understanding capital flows can shed light on the current account. In particular; (i) that they are poor indicators of financial vulnerability, (ii) US digital purchasing power finances deficits, (iii) Triffin’s dilemma is not a dilemma, and (iv) high correlation between capital inflows and outflows is a consequence of double entry bookkeeping.
Capital Flow Data – A Guide for Empirical Analysis and Real-time Tracking (IMF, 47 page read)Excellent survey of widely used capital flow databases from EPFR to IIF to BoP data.