Global macro risks in currency excess returns

by Kimberly A. Berg and Nelson C. Mark

We study a cross section of carry-trade-generated currency excess returns in terms of their exposure to global fundamental macroeconomic risk. The cross-country high-minuslow (HML) conditional skewness of the unemployment gap - our measure of global macroeconomic uncertainty - is a factor that is robustly priced in currency excess returns. A widening of the HML gap signifies increasing divergence, disparity and inequality of economic performance across countries.

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Year of publication:	July 2016
Authors:	Berg, Kimberly A. ; Mark, Nelson C.
Publisher:	[Ottawa] : Bank of Canada
Subject:	Interest rates \| Exchange rates \| Asset pricing \| Zins \| Interest rate \| Wechselkurs \| Exchange rate \| Risikoprämie \| Risk premium \| Theorie \| Theory \| CAPM \| Währungsspekulation \| Currency speculation \| Risiko \| Risk \| Währungsrisiko \| Exchange rate risk \| Kapitaleinkommen \| Capital income \| Zinsparität \| Interest rate parity

Extent:	1 Online-Ressource (circa 43 Seiten) Illustrationen
Series:	Staff working paper / Bank of Canada. - Ottawa : [Verlag nicht ermittelbar], ISSN 1701-9397, ZDB-ID 2278568-1. - Vol. 2016-32
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Zusammenfassung in französischer Sprache
Other identifiers:	hdl:10419/148139 [Handle]
Classification:	E21 - Consumption; Saving ; E43 - Determination of Interest Rates; Term Structure Interest Rates ; F31 - Foreign Exchange ; G12 - Asset Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10011517046