The Impacts of Global Risk and US Monetary Policy on US Dollar Exchange Rates and Excess Currency Returns
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More about this item
Keywords
Exchange rates; excess currency returns; uncovered interest parity; convenience yield; global financial cycle; global risk; monetary policy;All these keywords.
JEL classification:
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- F31 - International Economics - - International Finance - - - Foreign Exchange
- F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CBA-2023-07-24 (Central Banking)
- NEP-IFN-2023-07-24 (International Finance)
- NEP-MON-2023-07-24 (Monetary Economics)
- NEP-OPM-2023-07-24 (Open Economy Macroeconomics)
Statistics
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