全球智库信息集成服务系统(G2TT): Global Macro Risks in Currency Excess Returns

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w23764
来源ID	Working Paper 23764
	Global Macro Risks in Currency Excess Returns
	Kimberly A. Berg; Nelson Mark
发表日期	2017-09-11
出版年	2017
语种	英语
摘要	We study the cross-sectional variation of carry-trade-generated currency excess returns in terms of their exposure to global macroeconomic fundamental risk. The risk factor is the cross-country high-minus-low conditional skewness of the unemployment rate gap. It gives a measure of global macroeconomic uncertainty and is robustly priced in currency excess returns. A widening of the high-minus-low skewness of the unemployment rate gap signifies increasing divergence, disparity, and inequality of economic performance across countries.
主题	International Economics ; International Finance ; International Macroeconomics ; Financial Economics ; Financial Markets
URL	https://www.nber.org/papers/w23764
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/581438
推荐引用方式 GB/T 7714	Kimberly A. Berg,Nelson Mark. Global Macro Risks in Currency Excess Returns. 2017.