Article ID Journal Published Year Pages File Type
7360571 Journal of Empirical Finance 2018 46 Pages PDF
Abstract
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.
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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