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008160729s2016    oncd    ob   f000 0 eng d
040 |aCaOODSP|beng
041 |aeng|bfre
043 |an-cn---
0861 |aFB3-5/2016-32E-PDF
1001 |aBerg, Kimberly.
24510|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.
4901 |aStaff Working Paper, |x1701-9397 ; |v2016-32
500 |a"July 2016."
504 |aIncludes bibliographical references.
5203 |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.
69207|2gccst|aCurrency
69207|2gccst|aExchange rates
69207|2gccst|aInterest rates
7001 |aMark, Nelson C.|q(Nelson Chung),|d1955-
7102 |aBank of Canada.
830#0|aStaff working paper (Bank of Canada)|x1701-9397 ; |v2016-32|w(CaOODSP)9.806221
85640|qPDF|s964 KB|uhttps://publications.gc.ca/collections/collection_2016/banque-bank-canada/FB3-5-2016-32-eng.pdf