EconPapers    
Economics at your fingertips  
 

Emerging Market Currency Excess Returns

Stephen Gilmore and Fumio Hayashi

American Economic Journal: Macroeconomics, 2011, vol. 3, issue 4, 85-111

Abstract: 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)
Date: 2011
Note: DOI: 10.1257/mac.3.4.85
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (16) Track citations by RSS feed

Downloads: (external link)
http://www.aeaweb.org/articles.php?doi=10.1257/mac.3.4.85 (application/pdf)
http://www.aeaweb.org/aej/mac/data/2010-0059_data.zip (application/zip)
http://www.aeaweb.org/aej/mac/app/2010-0059_app.pdf (application/pdf)
Access to full text is restricted to AEA members and institutional subscribers.

Related works:
Working Paper: Emerging Market Currency Excess Returns (2008) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

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
https://www.aeaweb.org/subscribe.html

Access Statistics for this article

American Economic Journal: Macroeconomics is currently edited by Steven J. Davis

More articles in American Economic Journal: Macroeconomics from American Economic Association Contact information at EDIRC.
Series data maintained by Jane Voros ().

 
Page updated 2017-09-29
Handle: RePEc:aea:aejmac:v:3:y:2011:i:4:p:85-111