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Global Macro Risks in Currency Excess Returns / Kimberly A. Berg, Nelson Mark.
- Format:
- Book
- Author/Creator:
- Berg, Kimberly A.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w23764.
- NBER working paper series no. w23764
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2017.
- Summary:
- 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.
- Notes:
- Print version record
- September 2017.
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