Bernoth, Kerstin; Herwartz, Helmut; Trienens, Lasse - 2023
We examine the causal relationship between US monetary policy shocks, exchange rates and currency excess returns for a … sample of eight advanced countries over the period 1980M1 to 2022M11. We find that the dynamics of the US dollar exchange … related to global risk aversion and the convenience yield that investors are willing to pay for holding US Dollar assets. A …