Global Macro Risks in Currency Excess Returns

Kimberly Berg and Nelson Mark

Staff Working Papers from Bank of Canada

Abstract: 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.

Keywords: Asset Pricing; Exchange rates; Interest rates (search for similar items in EconPapers)
JEL-codes: E21 E43 F31 G12 (search for similar items in EconPapers)
Pages: 43 pages
Date: 2016
New Economics Papers: this item is included in nep-cse, nep-ifn and nep-mac
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Citations: View citations in EconPapers (6)

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Related works:
Journal Article: Global macro risks in currency excess returns (2018)
Working Paper: Global Macro Risks in Currency Excess Returns (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:bca:bocawp:16-32

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