| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w26299 |
| 来源ID | Working Paper 26299 |
| Business Cycles and Currency Returns | |
| Riccardo Colacito; Steven J. Riddiough; Lucio Sarno | |
| 发表日期 | 2019-09-23 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | We find a strong link between currency excess returns and the relative strength of the business cycle. Buying currencies of strong economies and selling currencies of weak economies generates high returns both in the cross section and time series of countries. These returns stem primarily from spot exchange rate predictability, are uncorrelated with common currency investment strategies, and cannot be understood using traditional currency risk factors in either unconditional or conditional asset pricing tests. We also show that a business cycle factor implied by our results is priced in a broad currency cross section. |
| 主题 | International Economics ; International Finance ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w26299 |
| 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/583971 |
| 推荐引用方式 GB/T 7714 | Riccardo Colacito,Steven J. Riddiough,Lucio Sarno. Business Cycles and Currency Returns. 2019. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w26299.pdf（794KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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