Swiss working paper takes a new look at currency excess returns
The Swiss National Bank has published a working paper looking at the interaction of currency excess returns and global downside market risk.
In Currency Excess Returns and Global Downside Market Risk, authors Victoria Galsband and Thomas Nitschka take the perspective of a US investor assessing cross-sectional differences in 19 bilateral, conditional currency excess returns in an empirical model that distinguishes between US specific and global risks, conditional on US upside or downside markets
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