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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| 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 |
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| Subject terms | Currency Exchange rates Interest rates |
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