Emerging Market Currency Excess Returns
---- 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.