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 |
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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:
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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:
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C58 Financial Econometrics
F31 Foreign Exchange
G15 International Financial Markets
C58 Financial Econometrics
F31 Foreign Exchange
G15 International Financial Markets
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