exchange rates

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Replication Data: The Global Factor Structure of Exchange Rates

Creators: Sofonias Korsaye , Fabio Trojani , Andrea Vedolin
Publication Date: 26 January 2023
Creators: Sofonias Korsaye , Fabio Trojani , Andrea Vedolin

This dataset, hosted on Mendeley Data, contains the replication data for the study “The Global Factor Structure of Exchange Rates” (Korsaye, Trojani & Vedolin, 2023, Journal of Financial Economics). It includes currency return and exchange rate data used to identify and analyse the global factor structure underlying exchange rate movements, examining common risk factors that drive currency returns across countries.

Replication Data: Concealed Carry – Hidden Risk in Currency Carry Trades

Creators: Spencer Andrews, Riccardo Colacito, Mariano M. Croce, and Federico Gavazzoni
Publication Date: 2024-02-27
Creators: Spencer Andrews, Riccardo Colacito, Mariano M. Croce, and Federico Gavazzoni

This dataset, hosted on Mendeley Data, contains the replication data for the study “Concealed Carry” (Andrews, Colacito, Croce & Gavazzoni, 2024, Journal of Financial Economics). It includes exchange rate, interest rate, and macroeconomic data used to examine hidden or concealed risks embedded in currency carry trades and their implications for international asset pricing and risk premia.

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