Measures of Global Uncertainty and Carry-Trade Excess Returns

Kimberly Berg and Nelson Mark

No GRU_2017_002, GRU Working Paper Series from City University of Hong Kong, Department of Economics and Finance, Global Research Unit

Abstract: Asset market participants generally do not like uncertainty. In studying the cross-section of carry- trade-generated currency excess returns and their exposure to macroeconomic uncertainty, we find it also to be true for those participating in this market. A global, news-based measure of macroeconomic uncertainty is negatively and robustly priced into these excess returns, which is consistent with the existence of a global uncertainty factor.

Keywords: Currency excess returns; global uncertainty; beta-risk; carry trade (search for similar items in EconPapers)
JEL-codes: E21 E43 F31 G12 (search for similar items in EconPapers)
Pages: 38 pages
Date: 2017-03-27
New Economics Papers: this item is included in nep-ifn and nep-mac
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Published in Journal of International Money and Finance, Volume 88, November 2018, Pages 212-227

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Related works:
Journal Article: Measures of global uncertainty and carry-trade excess returns (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:cth:wpaper:gru_2017_002

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