The Share of Systematic Variation in Bilateral Exchange Rates
Sorting countries by their dollar currency betas produces a novel cross section of average currency excess returns. A slope factor (long in high beta currencies and short in low beta currencies) accounts for this cross section of currency risk premia. This slope factor is orthogonal to the high‐minu...
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| Format: | Article |
| Language: | English |
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Wiley
2019
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| Online Access: | https://hdl.handle.net/1721.1/122354 |