Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/148139
Authors: 
Berg, Kimberly A.
Mark, Nelson C.
Year of Publication: 
2016
Series/Report no.: 
Bank of Canada Staff Working Paper 2016-32
Abstract: 
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-minuslow (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.
Subjects: 
Interest rates
Exchange rates
Asset pricing
JEL: 
E21
E43
F31
G12
Document Type: 
Working Paper

Files in This Item:
File
Size
969.56 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.