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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| Title | Global macro risks in currency excess returns / by Kimberly A. Berg and Nelson C. Mark. |
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| Publication type | Monograph - View Master Record |
| Language | [English] |
| Format | Digital text |
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| Description | iii, 39 p. |
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