Global Macro Risks in Currency Excess Returns
Kimberly Berg and
Nelson Mark ()
No 23764, NBER Working Papers from National Bureau of Economic Research, Inc
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.
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Published as Kimberly A. Berg & Nelson C. Mark, 2017. "Global macro risks in currency excess returns," Journal of Empirical Finance, .
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Journal Article: Global macro risks in currency excess returns (2018)
Working Paper: Global Macro Risks in Currency Excess Returns (2016)
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