刊名：Journal of Empirical Finance

发表时间：2026.08

论文介绍：We construct global currency volatility risk as the equal-weighted average of currency option-implied or realized volatility across 17 major currencies and find that it significantly and positively predicts currency returns, especially for horizons beyond three months. The in-sample R2 statistics are 2.49%–5.02% (2.64%–7.13%) for global currency option-implied (realized) volatility in univariate regressions. They also perform well for out-of-sample cases, with R2 statistics of 3.00%–6.84% (3.53%–10.06%) for global currency option-implied (realized) volatility. Additionally, the currency return predictability systematically increases with rising inflation risk. More interestingly, global currency volatility risk is closely related to U.S. economic activity, uncertainty, the VIX, and sentiment.

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