Global Macro Risks in Currency Excess Returns
收藏NBER2017-09-01 更新2025-01-04 收录
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https://www.nber.org/papers/w23764
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资源简介：
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
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美国国家经济研究局创建时间：
2017-09-01
