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currency excess return

When oil market uncertainty rises, expected currency excess returns will increase.

Oil Market Uncertainty and Excess Returns on Currency Carry Trade

currency excess return

The findings highlight the role of behavioral factors as predictor of currency excess returns with significant investment implications.

Time-Varying Risk Aversion and Currency Excess Returns

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10.1016/j.ribaf.2021.101391

When oil market uncertainty rises, expected currency excess returns will increase.

Oil Market Uncertainty and Excess Returns on Currency Carry Trade

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10.2139/ssrn.3820056

The findings highlight the role of behavioral factors as predictor of currency excess returns with significant investment implications.

Time-Varying Risk Aversion and Currency Excess Returns

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10.2139/ssrn.2399492

Following Engel (2011), we use a Beveridge-Nelson decomposition to link expected foreign currency excess returns to `prospective interest rate differential' -- the infinite sum of expected future interest rate differentials.

Enhanced Carry: Prospective Interest Rate Differential and Currency Excess Returns

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10.2139/ssrn.3872077

These include the initial underreaction and delayed overreaction of currencies in response to monetary news; positive short-horizon and negative long-horizon autocorrelations of currency excess returns; and the lower return predictability of interest rate differentials for UIP trades implemented with longer maturity bonds.

The Role of Beliefs in Asset Prices: Evidence from Exchange Rates

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Currency Excess - When oil market uncertainty rises, expected currency excess returns will increase. [1] The findings highlight the role of behavioral factors as predictor of currency excess returns with significant investment implications. [2] Following Engel (2011), we use a Beveridge-Nelson decomposition to link expected foreign currency excess returns to `prospective interest rate differential' -- the infinite sum of expected future interest rate differentials. [3] These include the initial underreaction and delayed overreaction of currencies in response to monetary news; positive short-horizon and negative long-horizon autocorrelations of currency excess returns; and the lower return predictability of interest rate differentials for UIP trades implemented with longer maturity bonds. [4]

currency excess return

When oil market uncertainty rises, expected currency excess returns will increase. [1] The findings highlight the role of behavioral factors as predictor of currency excess returns with significant investment implications. [2] Following Engel (2011), we use a Beveridge-Nelson decomposition to link expected foreign currency excess returns to `prospective interest rate differential' -- the infinite sum of expected future interest rate differentials. [3] These include the initial underreaction and delayed overreaction of currencies in response to monetary news; positive short-horizon and negative long-horizon autocorrelations of currency excess returns; and the lower return predictability of interest rate differentials for UIP trades implemented with longer maturity bonds. [4]