|
000
| 01574cam 2200313za 4500 |
|---|
| 001 | 9.821810 |
|---|
| 003 | CaOODSP |
|---|
| 005 | 20221107143539 |
|---|
| 007 | cr ||||||||||| |
|---|
| 008 | 160729s2016 oncd ob f000 0 eng d |
|---|
| 040 | |aCaOODSP|beng |
|---|
| 041 | |aeng|bfre |
|---|
| 043 | |an-cn--- |
|---|
| 086 | 1 |aFB3-5/2016-32E-PDF |
|---|
| 100 | 1 |aBerg, Kimberly. |
|---|
| 245 | 10|aGlobal macro risks in currency excess returns |h[electronic resource] / |cby Kimberly A. Berg and Nelson C. Mark. |
|---|
| 260 | |a[Ottawa] : |bBank of Canada, |cc2016. |
|---|
| 300 | |aiii, 39 p. |
|---|
| 490 | 1 |aStaff Working Paper, |x1701-9397 ; |v2016-32 |
|---|
| 500 | |a"July 2016." |
|---|
| 504 | |aIncludes bibliographical references. |
|---|
| 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. |
|---|
| 692 | 07|2gccst|aCurrency |
|---|
| 692 | 07|2gccst|aExchange rates |
|---|
| 692 | 07|2gccst|aInterest rates |
|---|
| 700 | 1 |aMark, Nelson C.|q(Nelson Chung),|d1955- |
|---|
| 710 | 2 |aBank of Canada. |
|---|
| 830 | #0|aStaff working paper (Bank of Canada)|x1701-9397 ; |v2016-32|w(CaOODSP)9.806221 |
|---|
| 856 | 40|qPDF|s964 KB|uhttps://publications.gc.ca/collections/collection_2016/banque-bank-canada/FB3-5-2016-32-eng.pdf |
|---|