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Emerging Market Currency Excess Returns / Stephen Gilmore, Fumio Hayashi.
- Format:
- Book
- Author/Creator:
- Gilmore, Stephen.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w14528.
- NBER working paper series no. w14528
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2008.
- Summary:
- We discuss the foreign currency forward premium puzzle in the context of 20 internationally tradable emerging market currencies. We find that since the late 1990s the broad basket of emerging market currencies has provided significant equity-like excess returns against a number of major market currencies, but with low volatility. We also find that the forward premium, or carry, is significant in explaining that excess return but that excess returns would still have existed even in the absence of positive carry. Our calculation shows that transactions cost due to bid/offer spreads is substantially lower than commonly supposed in the academic literature.
- Notes:
- Print version record
- December 2008.
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