Measures of Global Uncertainty and Carry-Trade Excess Returns Article Swipe
Related Concepts
Carry (investment)
Excess return
Economics
Currency
Asset (computer security)
Econometrics
Monetary economics
Financial economics
Macroeconomics
Computer science
Geography
Context (archaeology)
Archaeology
Computer security
Asset market participants generally do not like uncertainty. In studying the cross-section of carry- trade-generated currency excess returns and their exposure to macroeconomic uncertainty, we find it also to be true for those participating in this market. A global, news-based measure of macroeconomic uncertainty is negatively and robustly priced into these excess returns, which is consistent with the existence of a global uncertainty factor.
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