Global Shocks and Currency Investment Strategies: What is the Role of Global Geopolitical Risk in the Foreign Exchange Market?

What is role of global geopolitical risk in the foreign exchange (FX) market?  How do global political shocks influence currency investment strategies and affect their profitability?

Given that there is no successful FX asset pricing model that explains the cross-sectional dispersion of currency momentum returns, this unique study, published in the Journal of Financial and Quantitative Analysis and which uses our ICRG data, the authors offer an asset pricing model that incorporates information on unanticipated movements of political risk relative to the US economy, showing that it is capable of capturing a good part of currency momentum excess returns.

Have a look:
(https://lnkd.in/gdRgnrwG)

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The PRS Group
www.PRSGroup.com
www.christophermckee.net

CHRISTOPHER MCKEE, PHD CHIEF EXECUTIVE

Christopher McKee is PRS’ CEO and Owner. An international political economist, global investor, entrepreneur, and author, Chris received his PhD from Queen’s University (Canada) and has been involved in the field of geopolitical risk, limited recourse financing, and private sector development for the past 25 years.