本文探討地緣政治風險（GPR）是否影響外匯動能策略的表現。以 1985 至 2024 年間 41 種貨幣為樣本，我們發現動能策略具有顯著且持續的報酬。短期策略年化報酬約為 3.25%，且隨持有期間延長而遞減。報酬主要來自匯率變動，而非利差。我們進一步發現，動能表現取決於地緣政治風險水準。在低 GPR 期間，動能報酬顯著；在高 GPR 期間，動能報酬則明顯減弱，顯示地緣政治環境會影響報酬延續性。此外，我們發現 GPR 無法解釋個別貨幣報酬的橫斷面差異，其影響主要透過整體市場環境的變動發揮作用，且無法被傳統資產定價模型所捕捉。最後，我們發現標準貨幣風險因子無法完全解釋動能報酬，其解釋力亦隨 GPR 狀態而改變。整體而言，證據顯示地緣政治風險並非透過橫斷面風險定價影響外匯市場，而是透過改變動能策略所處的資訊環境，進而影響報酬的形成與持續性，凸顯條件式動態在外匯報酬可預測性中的重要性。

This paper examines whether geopolitical risk (GPR) affects the performance of currency momentum strategies. Using a panel of 41 currencies from 1985 to 2024, we document significant and persistent momentum profits. Short-horizon strategies yield annualized returns of about 3.25%, with profitability declining at longer holding horizons. The returns are primarily driven by exchange rate movements rather than interest differentials. We further show that momentum performance depends on the level of geopolitical risk. Momentum profits are significant during low GPR periods but weaken substantially during high GPR periods, indicating that geopolitical conditions affect return persistence. In addition, we find that GPR does not explain the cross-sectional variation in individual currency returns. Instead, its effect operates through changes in overall market conditions and is not captured by standard asset pricing models. Finally, we show that standard currency risk factors do not fully account for momentum returns, and their explanatory power varies across GPR states. Overall, the evidence suggests that geopolitical risk does not affect currency markets through cross-sectional risk pricing, but rather by altering the information environment in which momentum strategies operate, thereby shaping the formation and persistence of returns and highlighting the importance of conditional dynamics in currency return predictability.

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