Economics, Econometrics and Finance
8 years ago

Emerging market currencies show risk premiums in global market uncertainty.

Journal of International Financial Markets Institutions and Money
Evidence of risk premiums in emerging market carry trade currencies
Marcelo Bittencourt Coelho dos Santos, Marcelo Cabús Klötzle, Antônio Carlos Figueiredo Pinto

Paper Summary

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The study found that there are risk premiums in emerging market carry trade currencies. Unanticipated shocks have a bigger impact on long-term risk premiums than fundamental factors. During times of global market uncertainty, short-term risk premiums increase.