We assess cross-sectional differences in 23 bilateral, conditional currency excess returns in an empirical model that distinguishes between US-specific and global risks, conditional on US bull (upside) or bear (downside) markets. Our results suggest that global downside risk is not only compensated in average returns on currency portfolios but also in conditional, bilateral currency excess returns. Emerging markets’ currencies mainly drive our results. We show that the link between global downside risk and risks associated with a typical carry trade strategy is much weaker for emerging markets’ currencies than for developed markets’ currencies.