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| 01574nam 2200313za 4500 |
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| 001 | 9.821810 |
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| 003 | CaOODSP |
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| 005 | 20221107143539 |
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| 007 | cr ||||||||||| |
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| 008 | 160729s2016 oncd ob f000 0 eng d |
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| 040 | |aCaOODSP|beng |
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| 041 | |aeng|bfre |
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| 043 | |an-cn--- |
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| 086 | 1 |aFB3-5/2016-32E-PDF |
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| 100 | 1 |aBerg, Kimberly. |
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| 245 | 10|aGlobal macro risks in currency excess returns |h[electronic resource] / |cby Kimberly A. Berg and Nelson C. Mark. |
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| 260 | |a[Ottawa] : |bBank of Canada, |cc2016. |
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| 300 | |aiii, 39 p. |
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| 490 | 1 |aStaff Working Paper, |x1701-9397 ; |v2016-32 |
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| 500 | |a"July 2016." |
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| 504 | |aIncludes bibliographical references. |
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| 520 | 3 |aWe 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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| 692 | 07|2gccst|aCurrency |
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| 692 | 07|2gccst|aExchange rates |
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| 692 | 07|2gccst|aInterest rates |
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| 700 | 1 |aMark, Nelson C.|q(Nelson Chung),|d1955- |
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| 710 | 2 |aBank of Canada. |
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| 830 | #0|aStaff working paper (Bank of Canada)|x1701-9397 ; |v2016-32|w(CaOODSP)9.806221 |
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| 856 | 40|qPDF|s964 KB|uhttps://publications.gc.ca/collections/collection_2016/banque-bank-canada/FB3-5-2016-32-eng.pdf |
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