Carrieri, Francesca; Errunza, Vihang; Majerbi, Basma - In: Journal of Financial and Quantitative Analysis 41 (2006) 03, pp. 511-540
This paper conducts empirical tests in a conditional setting for 10 developed and 12 emerging markets to determine whether emerging market currency risk is priced and if it spills over into developed market assets. Our empirical model is based on real exchange rate measures and it allows...