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Foreign Exchange Risk Premiums and Global Currency Factors

Author

Listed:
  • Ingomar Krohn
  • Mariel Maguiña

Abstract

Global currency risk factors continue to explain a large share of the variation in the Canadian dollar during the period following the 2008–09 global financial crisis. We show that they are also systematically important for risk premiums, and only in recent months has the role of idiosyncratic country-specific risks grown.

Suggested Citation

  • Ingomar Krohn & Mariel Maguiña, 2024. "Foreign Exchange Risk Premiums and Global Currency Factors," Staff Analytical Notes 2024-20, Bank of Canada.
    • Handle: RePEc:bca:bocsan:24-20
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    File URL: https://www.bankofcanada.ca/2024/07/staff-analytical-note-2024-20/
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    More about this item

    Keywords

    Asset pricing; Exchange rates; International financial markets;
    All these keywords.

    JEL classification:

    • F3 - International Economics - - International Finance
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G1 - Financial Economics - - General Financial Markets
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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