Common Risk Factors in Currency Markets
收藏NBER2008-06-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w14082
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资源简介：
We identify a 'slope' factor in exchange rates. High interest rate currencies load more on this slope factor than low interest rate currencies. As a result, this factor can account for most of the cross-sectional variation in average excess returns between high and low interest rate currencies. A
提供机构：
美国国家经济研究局
创建时间：
2008-06-01
