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Measures of global uncertainty and carry-trade excess returns
Berg, Kimberly A.; Mark, Nelson C. - In: Journal of international money and finance 88 (2018), pp. 212-227
Persistent link: https://www.econbiz.de/10012000890
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Global macro risks in currency excess returns
Berg, Kimberly A.; Mark, Nelson C. - 2017
Persistent link: https://www.econbiz.de/10011739536
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Global Macro Risks in Currency Excess Returns
Berg, Kimberly A. - 2017
We study the cross-sectional variation of carry-trade-generated currency excess returns in terms of their exposure to global macroeconomic fundamental risk. The risk factor is the cross-country high-minus-low conditional skewness of the unemployment rate gap. It gives a measure of global...
Persistent link: https://www.econbiz.de/10012453947
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Global Macro Risks in Currency Excess Returns
Berg, Kimberly - 2017
We study the cross-sectional variation of carry-trade-generated currency excess returns in terms of their exposure to global macroeconomic fundamental risk. The risk factor is the cross-country high-minus-low conditional skewness of the unemployment rate gap. It gives a measure of global...
Persistent link: https://www.econbiz.de/10012948089
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Unspanned Global Macro Risks in Bond Returns
Zhao, Feng - 2020
This paper examines the macro-spanning hypothesis for bond returns in international markets. Based on a large panel of real-time macro variables that are not subject to revisions, wefind that global macro factors have predictive power for bond returns unspanned by yield factors.Furthermore, we...
Persistent link: https://www.econbiz.de/10012856793
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Getting beyond carry trade : what makes a safe haven currency?
Habib, Maurizio M.; Stracca, Livio - In: Journal of international economics 87 (2012) 1, pp. 50-64
Persistent link: https://www.econbiz.de/10010220043
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The transmission of global monetary and credit shocks on exchange market pressure in emerging markets and developing economies
Keefe, Helena Glebocki - In: Journal of international financial markets, … 72 (2021), pp. 1-22
Persistent link: https://www.econbiz.de/10012801531
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Essays on monetary and international macroeconomics
Traczyk, Adam - 2011
Persistent link: https://www.econbiz.de/10009229846
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The role of global liquidity in global yield dynamics
Park, Euihwan; Kim, Dong-heon - In: Seoul journal of economics : SJE 36 (2023) 2, pp. 193-220
Persistent link: https://www.econbiz.de/10014287838
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The influence of global financial liquidity on the Indonesian economy : dynamic analysis with threshold VAR
Ekananda, Mahjus; Suryanto, Tulus - In: Economies : open access journal 9 (2021) 4, pp. 1-20
studied. This research aims to investigate the interdependent relationships between world GDP, world commodity prices, world … autoregression (TVAR) to capture regime changes in the variables of the world economy. World economic data and Indonesia's economic … data were utilized to prove different responses to the world economic situation in two different regimes. This research …
Persistent link: https://www.econbiz.de/10012799838