EconPapers    
Economics at your fingertips  
 

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)
New Economics Papers: this item is included in nep-fmk and nep-ifn
Date: 2017-09
Note: AP IFM
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Published as Kimberly A. Berg & Nelson C. Mark, 2017. "Global macro risks in currency excess returns," Journal of Empirical Finance, .

Downloads: (external link)
http://www.nber.org/papers/w23764.pdf (application/pdf)

Related works:
Journal Article: Global macro risks in currency excess returns (2018) Downloads
Working Paper: Global Macro Risks in Currency Excess Returns (2016) 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:nbr:nberwo:23764

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w23764

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().

 
Page updated 2019-07-20
Handle: RePEc:nbr:nberwo:23764