Gilmore, Stephen; Hayashi, Fumio - In: American Economic Journal: Macroeconomics 3 (2011) 4, pp. 85-111
We consider the excess return from 20 internationally tradable emerging market (EM) currencies against the US dollar. It has two contributions. First, we document stylized facts about EM currencies. EM currencies have provided significant equity-like excess returns against major currencies, but...
