| ID | 67996 |
| FullText URL | |
| Author |
Cai, Xiaojing
Faculty of Economics, Okayama University
Sakemoto, Ryuta
Faculty of Economics and Business, Hokkaido University
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| Abstract | 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.
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| Keywords | Currency portfolio
Ambiguity
Carry trades
FX volatility
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| Note | © 2024 Elsevier Inc. This manuscript version is made available under the CC-BY-NC-ND 4.0 license https://creativecommons.org/licenses/by-nc-nd/4.0/
This fulltext file will be available in May 2026.
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| Published Date | 2024-07
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| Publication Title |
Finance Research Letters
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| Volume | volume65
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| Publisher | Elsevier
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| Start Page | 105534
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| ISSN | 1544-6123
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| Content Type |
Journal Article
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| language |
English
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| OAI-PMH Set |
岡山大学
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| Copyright Holders | © 2024 Elsevier Inc.
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| File Version | author
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| DOI | |
| Web of Science KeyUT | |
| Related Url | isVersionOf https://doi.org/10.1016/j.frl.2024.105534
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| License | https://creativecommons.org/licenses/by-nc-nd/4.0/
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| Funder Name |
International Joint Research Center of Advanced Economic Research of KIER
Japan Society for the Promotion of Science
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| 助成番号 | 23K01468
22H00846
22K13430
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