Global Macro Risks in Currency Excess Returns

Kimberly Berg and Nelson Mark

No 23764, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: We study the cross-sectional variation of carry-trade-generated currency excess returns in terms of their exposure to global macroeconomic fundamental risk. The risk factor is the cross-country high-minus-low conditional skewness of the unemployment rate gap. It gives a measure of global macroeconomic uncertainty and is robustly priced in currency excess returns. A widening of the high-minus-low skewness of the unemployment rate gap signifies increasing divergence, disparity, and inequality of economic performance across countries.

JEL-codes: F3 F4 G1 (search for similar items in EconPapers)
Date: 2017-09
New Economics Papers: this item is included in nep-fmk and nep-ifn
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Published as Kimberly A. Berg & Nelson C. Mark, 2017. "Global macro risks in currency excess returns," Journal of Empirical Finance, .

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Journal Article: Global macro risks in currency excess returns (2018)
Working Paper: Global Macro Risks in Currency Excess Returns (2016)
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