Global Macro Risks in Currency Excess Returns
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- Berg, Kimberly A. & Mark, Nelson C., 2018. "Global macro risks in currency excess returns," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 300-315.
- Kimberly A. Berg & Nelson Mark, 2017. "Global Macro Risks in Currency Excess Returns," NBER Working Papers 23764, National Bureau of Economic Research, Inc.
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More about this item
Keywords
Asset Pricing; Exchange rates; Interest rates;All these keywords.
JEL classification:
- E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- F31 - International Economics - - International Finance - - - Foreign Exchange
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CSE-2016-08-07 (Economics of Strategic Management)
- NEP-IFN-2016-08-07 (International Finance)
- NEP-MAC-2016-08-07 (Macroeconomics)
Statistics
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