NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Emerging Market Currency Excess Returns

Stephen Gilmore, Fumio Hayashi

NBER Working Paper No. 14528
Issued in December 2008

---- Acknowledgements -----

Stephen Gilmore is an employee of Banque AIG. Fumio Hayashi works from time to time as a paid consultant for Banque AIG. We thank Geert Rouwenhorst and Makoto Saito for helpful comments. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.

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