| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP14015 |
| DP14015 Business Cycles and Currency Returns | |
| LUCIO SARNO; Ric Colacito; Steven Riddiough | |
| 发表日期 | 2019-09-20 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | We find a strong link between currency excess returns and the relative strength of the business cycle. Buying currencies of strong economies and selling currencies of weak economies generates high returns both in the cross section and time series of countries. These returns stem primarily from spot exchange rate predictability, are uncorrelated with common currency investment strategies, and cannot be understood using traditional currency risk factors in either unconditional or conditional asset pricing tests. We also show that a business cycle factor implied by our results is priced in a broad currency cross section. |
| 主题 | Financial Economics ; International Macroeconomics and Finance |
| 关键词 | Exchange rates Currency risk premium Business cycles Long-run risk |
| URL | https://cepr.org/publications/dp14015 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/542899 |
| 推荐引用方式 GB/T 7714 | LUCIO SARNO,Ric Colacito,Steven Riddiough. DP14015 Business Cycles and Currency Returns. 2019. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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