Foreign Exchange Risk Premiums and Global Currency Factors

Ingomar Krohn and Mariel Maguiña

No 2024-20, Staff Analytical Notes from Bank of Canada

Abstract: Global currency risk factors continue to explain a large share of the variation in the Canadian dollar during the period following the 2008–09 global financial crisis. We show that they are also systematically important for risk premiums, and only in recent months has the role of idiosyncratic country-specific risks grown.

Keywords: Asset pricing; Exchange rates; International financial markets (search for similar items in EconPapers)
JEL-codes: F3 F31 G1 G12 (search for similar items in EconPapers)
Date: 2024-07
New Economics Papers: this item is included in nep-fmk, nep-ifn and nep-opm
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Persistent link: https://EconPapers.repec.org/RePEc:bca:bocsan:24-20

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