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CURRENCY RISK PREMIUM AND U.S. MACROECONOMIC ANNOUNCEMENT
Author(s) -
Du Ding,
Hu Ou,
Zhao Xiaobing
Publication year - 2016
Publication title -
journal of financial research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.319
H-Index - 49
eISSN - 1475-6803
pISSN - 0270-2592
DOI - 10.1111/jfir.12111
Subject(s) - currency , risk premium , economics , monetary economics , foreign exchange risk , equity (law) , equity premium puzzle , financial economics , political science , law
In this article, we test whether the currency risk premium in the U.S. equity market is particularly higher on prescheduled U.S. macroeconomic announcement days. Our empirical analyses find supporting evidence. Our results help strengthen recent conditional tests on currency risk and suggest that the currency risk premium in the U.S. equity market is driven by U.S. macroeconomic conditions (e.g., U.S. monetary policy).