Emerging Market Currency Excess Returns
Stephen Gilmore and
American Economic Journal: Macroeconomics, 2011, vol. 3, issue 4, 85-111
We consider the excess return from 20 internationally tradable emerging market (EM) currencies against the US dollar. It has two contributions. First, we document stylized facts about EM currencies. EM currencies have provided significant equity-like excess returns against major currencies, but with low volatility. Picking EM currencies with a relatively high forward premium raises the portfolio return substantially. Second, our calculation incorporates institutional features of the foreign exchange market, such as lags in settling spot contracts, FX swaps, and bid/offer spreads. Transaction costs arising from bid/offer spreads are less than one-fifth of what is typically presumed in the literature. (JEL C58, F31, G15)
JEL-codes: C58 F31 G15 (search for similar items in EconPapers)
Note: DOI: 10.1257/mac.3.4.85
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (35) Track citations by RSS feed
Downloads: (external link)
Access to full text is restricted to AEA members and institutional subscribers.
Working Paper: Emerging Market Currency Excess Returns (2008)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:aea:aejmac:v:3:y:2011:i:4:p:85-111
Ordering information: This journal article can be ordered from
Access Statistics for this article
American Economic Journal: Macroeconomics is currently edited by Simon Gilchrist
More articles in American Economic Journal: Macroeconomics from American Economic Association Contact information at EDIRC.
Bibliographic data for series maintained by Michael P. Albert ().