We develop a model in which specialized bond investors must absorb shocks to the supply and demand for long-term bonds in two currencies. Since long-term bonds and foreign exchange are both exposed to unexpected movements in short-term interest rates, a shift in the supply of long-term bonds in one currency influences the foreign exchange rate between the two currencies, as well as bond term premia in both currencies. Our model matches several important empirical patterns, including the comovement between exchange rates and term premia, as well as the finding that central banks’ quantitative-easing policies impact exchange rates. An extension of our model links spot exchange rates to the persistent deviations from covered interest rate parity that have emerged since 2008.

中文翻译：

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期限溢价和汇率的数量驱动理论

我们开发了一个模型，在该模型中，专业债券投资者必须吸收两种货币的长期债券供需冲击。由于长期债券和外汇都受到短期利率意外变动的影响，一种货币长期债券供应的变化会影响两种货币之间的汇率，以及债券期限溢价两种货币。我们的模型符合几个重要的实证模式，包括汇率和期限溢价之间的联动，以及央行的量化宽松政策影响汇率的发现。我们模型的扩展将即期汇率与自 2008 年以来出现的抛补利率平价的持续偏差联系起来。