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Measures of global uncertainty and carry-trade excess returns

Kimberly Berg and Nelson Mark ()

Journal of International Money and Finance, 2018, vol. 88, issue C, 212-227

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)
Date: 2018
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Working Paper: Measures of Global Uncertainty and Carry-Trade Excess Returns (2017) Downloads
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Handle: RePEc:eee:jimfin:v:88:y:2018:i:c:p:212-227