Replication data for: Emerging Market Currency Excess Returns

Principal Investigator(s):  View help for Principal Investigator(s) Stephen Gilmore; Fumio Hayashi

Version:  View help for Version V1

Name File Type Size Last Modified
Delivery_dates_save_in_MAT_file.m text/plain 5.1 KB 10/12/2019 05:17:PM
EM20_and_Gx_bid_offer.m text/plain 3.6 KB 10/12/2019 05:17:PM
EM20_and_Gx_flags.m text/plain 4.2 KB 10/12/2019 05:17:PM
EM20_and_Gx_from_Daily_to_Monthly.m text/plain 42.4 KB 10/12/2019 05:17:PM
EM20_and_Gx_monthly_all.m text/plain 14.8 KB 10/12/2019 05:17:PM
EM20_and_Gx_monthly_all.xls application/vnd.ms-excel 2.9 MB 10/12/2019 05:17:PM
EM20_and_Gx_monthly_bid_offer.m text/plain 4.8 KB 10/12/2019 05:17:PM
EM20_and_Gx_monthly_bid_offer.xls application/vnd.ms-excel 428.5 KB 10/12/2019 05:17:PM
EM20_and_Gx_monthly_bivariate_ER_on_carry.m text/plain 7.2 KB 10/12/2019 05:17:PM
EM20_and_Gx_monthly_bivariate_ER_on_carry.xls application/vnd.ms-excel 56 KB 10/12/2019 05:17:PM
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Project Citation: 

Gilmore, Stephen, and Hayashi, Fumio. Replication data for: Emerging Market Currency Excess Returns. Nashville, TN: American Economic Association [publisher], 2011. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-12. https://doi.org/10.3886/E114233V1

Project Description

Summary:  View help for Summary We consider the excess return from 20 internationally tradable emerging market (EM) currencies against the US dollar. It has two contributions. First, we document stylized facts about EM currencies. EM currencies have provided significant equity-like excess returns against major currencies, but with low volatility. Picking EM currencies with a relatively high forward premium raises the portfolio return substantially. Second, our calculation incorporates institutional features of the foreign exchange market, such as lags in settling spot contracts, FX swaps, and bid/offer spreads. Transaction costs arising from bid/offer spreads are less than one-fifth of what is typically presumed in the literature. (JEL C58, F31, G15)

Scope of Project

JEL Classification:  View help for JEL Classification
      C58 Financial Econometrics
      F31 Foreign Exchange
      G15 International Financial Markets


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V1 [2019-10-12]

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