Kimberly Berg

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Global Macro Risks in Currency Excess Returns

Staff Working Paper 2016-32 Kimberly Berg, Nelson C. Mark
We study a cross section of carry-trade-generated currency excess returns in terms of their exposure to global fundamental macroeconomic risk.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Asset Pricing, Exchange rates, Interest rates JEL Code(s): E, E2, E21, E4, E43, F, F3, F31, G, G1, G12

Predictive Ability of Commodity Prices for the Canadian Dollar

Staff Analytical Note 2016-2 Kimberly Berg, Pierre Guérin, Yuko Imura
Recent sharp declines in commodity prices and the simultaneous depreciation of the Canadian dollar (CAD) relative to the U.S. dollar (USD) have rekindled an interest in the relationship between commodity prices and the CAD-USD exchange rate.

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