Currency portfolios and global foreign exchange ambiguity

Asano, Takao; Cai, Xiaojing; Sakemoto, Ryuta

Finance Research Letters, 2024, 65, 1-35

Permalink : https://hdl.handle.net/2115/97251

このアイテムのアクセス数:13件（2026-08-27 21:33 集計）

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アクセス権	open access
URI	https://hdl.handle.net/2115/97251
タイトル	Currency portfolios and global foreign exchange ambiguity
著者	Asano, Takao ; Cai, Xiaojing ; Sakemoto, Ryuta
e-Rad_Researcher 40423157 著者名 Asano, Takao
著者名 Cai, Xiaojing
e-Rad_Researcher 50880275 著者名 Sakemoto, Ryuta
言語	英語
キーワード	Currency Portfolio
	Ambiguity
	Carry Trades
	FX Volatility
発行日	2024-07-14
出版者	Elsevier
収録物名	Finance Research Letters
巻(号)	65
ページ	1-35
抄録	This study investigates whether cross-sectional global foreign exchange (FX) ambiguity impacts currency portfolios. We observe that, in contrast to FX volatility, high FX ambiguity leads to high currency carry returns. We also reveal that FX ambiguity is weakly associated with the highest interest rate portfolio, but strongly related to the second highest interest rate portfolio. These results suggest that FX ambiguity captures elements of uncertainty that are not captured by FX volatility. In addition, FX ambiguity is not linked to returns on currency momentum and value portfolios.
資源タイプ	学術雑誌論文
出版タイプ	Accepted Manuscript
権利情報
権利情報	© 2024. This manuscript version is made available under the CC-BY-NC-ND 4.0 license https://creativecommons.org/licenses/by-nc-nd/4.0/
PISSN	1544-6123
EISSN	1544-6131
NCID	AA11857806
関連情報 (isVersionOf)	出版社版DOI https://doi.org/10.1016/j.frl.2024.105534