Currency excess returns and global downside market risk

Atanasov, Victoria ; Nitschka, Thomas

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URN: urn:nbn:de:bsz:180-madoc-438276
Document Type: Article
Year of publication: 2014
The title of a journal, publication series: Journal of International Money and Finance
Volume: 47
Page range: 268-285
Place of publication: Amsterdam [u.a.]
Publishing house: Elsevier
ISSN: 0261-5606
Publication language: English
Institution: Business School > ABWL u. Finanzierung (Theissen)
Subject: 330 Economics
Abstract: We assess cross-sectional differences in 23 bilateral currency excess returns in an empirical model that distinguishes between US-specific and global risks, conditional on US bull (upside) or bear (downside) markets. Using the US dollar as numeraire currency, our results suggest that global downside risk is compensated in conditional and unconditional, bilateral currency excess returns. This finding is mostly driven by the emerging markets' currencies in our sample. We also find that the link between the global downside risk and risks associated with a typical carry trade strategy is much weaker for emerging markets' currencies than for developed markets' currencies.

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Dieser Datensatz wurde nicht während einer Tätigkeit an der Universität Mannheim veröffentlicht, dies ist eine Externe Publikation.

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