Nelson C. Mark

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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

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