Country Fundamentals and Currency Excess Returns

Country Fundamentals and Currency Excess Returns

We examine whether country fundamentals help explain the cross-section of currency excess returns. For this purpose, we consider fundamental variables such as default risk, foreign exchange rate regime, capital control as well as interest rate in the multi-factor model framework. Our empirical resul...

Full description

Bibliographic Details
Main Authors: Daehwan Kim, Chi-Young Song
Format: Article
Language:English
Published: Korea Institute for International Economic Policy 2014-06-01
Series:East Asian Economic Review
Subjects:
Currency Excess Returns
Country Fundamentals
Factor Model
Fundamental Factors
Investment-style Factors
Online Access:http://dx.doi.org/10.11644/KIEP.JEAI.2014.18.2.277

Internet

http://dx.doi.org/10.11644/KIEP.JEAI.2014.18.2.277

Similar Items