Beyond Carry: The Prospective Interest Rate Differential and Currency Excess Returns
The study reveals that the prospective interest rate differential is a better predictor of currency excess returns than carry, explaining returns of various currency portfolios.
Featured in No. 37 on 14 Feb 2024 · 5 days after release · 0 citations today
- Released
- 9 Feb 2024
- First featured
- No. 37 · 14 Feb 2024
- Citations (Semantic Scholar)
- 0
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- 0
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- 3
- Identifier
- SSRN 4721897
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