nep-ifn New Economics Papers
on International Finance
Issue of 2017‒09‒24
one paper chosen by
Vimal Balasubramaniam
University of Oxford

  1. Global Macro Risks in Currency Excess Returns By Kimberly A. Berg; Nelson Mark

  1. By: Kimberly A. Berg; Nelson Mark
    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: F3 F4 G1
    Date: 2017–09

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