Global macro risks in currency excess returns / by Kimberly A. Berg and Nelson C. Mark.: FB3-5/2016-32E-PDF

We study a cross section of carry-trade-generated currency excess returns in terms of their exposure to global fundamental macroeconomic risk. The cross-country high-minus-low (HML) conditional skewness of the unemployment gap—our measure of global macroeconomic uncertainty—is a factor that is robustly priced in currency excess returns. A widening of the HML gap signifies increasing divergence, disparity and inequality of economic performance across countries.

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Publication information
Department/Agency Bank of Canada.
Title Global macro risks in currency excess returns / by Kimberly A. Berg and Nelson C. Mark.
Series title Staff Working Paper, 1701-9397 ; 2016-32
Publication type Series - View Master Record
Language [English]
Format Electronic
Electronic document
Note(s) "July 2016."
Includes bibliographical references.
Publishing information [Ottawa] : Bank of Canada, c2016.
Author / Contributor Berg, Kimberly.
Mark, Nelson C.(Nelson Chung),1955-
Description iii, 39 p.
Catalogue number
  • FB3-5/2016-32E-PDF
Subject terms Currency
Exchange rates
Interest rates
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