Currency Risk Premiums Redux
Author
Abstract
Suggested Citation
Download full text from publisher
As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.
Other versions of this item:
- Federico C. Nucera & Lucio Sarno & Gabriele Zinna, 2023. "Currency risk premiums redux?," Temi di discussione (Economic working papers) 1415, Bank of Italy, Economic Research and International Relations Area.
References listed on IDEAS
- Robert Ready & Nikolai Roussanov & Colin Ward, 2017.
"Commodity Trade and the Carry Trade: A Tale of Two Countries,"
Journal of Finance, American Finance Association, vol. 72(6), pages 2629-2684, December.
- Nikolai Roussanov & Robert Ready, 2012. "Commodity Trade and the Carry Trade: a Tale of Two Countries," 2012 Meeting Papers 817, Society for Economic Dynamics.
- Robert Ready & Nikolai Roussanov & Colin Ward, 2013. "Commodity Trade and the Carry Trade: a Tale of Two Countries," NBER Working Papers 19371, National Bureau of Economic Research, Inc.
- Tim A. Kroencke & Felix Schindler & Andreas Schrimpf, 2014.
"International Diversification Benefits with Foreign Exchange Investment Styles,"
Review of Finance, European Finance Association, vol. 18(5), pages 1847-1883.
- Kroencke, Tim Alexander & Schindler, Felix & Schrimpf, Andreas, 2011. "International diversification benefits with foreign exchange investment styles," ZEW Discussion Papers 11-028, ZEW - Leibniz Centre for European Economic Research.
- Tim A. Kroencke & Felix Schindler & Andreas Schrimpf, 2011. "International Diversification Benefits with Foreign Exchange Investment Styles," CREATES Research Papers 2011-10, Department of Economics and Business Economics, Aarhus University.
- Ranaldo, Angelo & Somogyi, Fabricius, 2021.
"Asymmetric information risk in FX markets,"
Journal of Financial Economics, Elsevier, vol. 140(2), pages 391-411.
- Angelo Ranaldo & Fabricius Somogyi, 2018. "Asymmetric Information Risk in FX Markets," Working Papers on Finance 1820, University of St. Gallen, School of Finance, revised Apr 2020.
- Akram, Q. Farooq & Rime, Dagfinn & Sarno, Lucio, 2008.
"Arbitrage in the foreign exchange market: Turning on the microscope,"
Journal of International Economics, Elsevier, vol. 76(2), pages 237-253, December.
- Q. Farooq Akram, & Dagfinn Rime & Lucio Sarno, 2005. "Arbitrage in the foreign exchange market: Turning on the microscope," Working Paper 2005/12, Norges Bank.
- Sarno, Lucio & Rime, Dagfinn & Akram, Farooq, 2008. "Arbitrage in the Foreign Exchange Market: Turning on the Microscope," CEPR Discussion Papers 6878, C.E.P.R. Discussion Papers.
- Akram, Q. Farooq & Rime, Dagfinn & Sarno, Lucio, 2006. "Arbitrage in the Foreign Exchange Market: Turning on the Microscope," SIFR Research Report Series 42, Institute for Financial Research.
- He, Zhiguo & Kelly, Bryan & Manela, Asaf, 2017.
"Intermediary asset pricing: New evidence from many asset classes,"
Journal of Financial Economics, Elsevier, vol. 126(1), pages 1-35.
- Zhiguo He & Bryan Kelly & Asaf Manela, 2016. "Intermediary Asset Pricing: New Evidence from Many Asset Classes," NBER Working Papers 21920, National Bureau of Economic Research, Inc.
- Merton, Robert C, 1973. "An Intertemporal Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 41(5), pages 867-887, September.
- Stefano Giglio & Dacheng Xiu, 2021. "Asset Pricing with Omitted Factors," Journal of Political Economy, University of Chicago Press, vol. 129(7), pages 1947-1990.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Jia, Yuecheng & Liu, Yuzheng & Wu, Yangru & Yan, Shu, 2024. "Information spillover and cross-predictability of currency returns: An analysis via Machine Learning," Journal of Banking & Finance, Elsevier, vol. 169(C).
- Asano, Takao & Cai, Xiaojing & Sakemoto, Ryuta, 2024. "Currency portfolios and global foreign exchange ambiguity," Finance Research Letters, Elsevier, vol. 65(C).
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Byrne, Joseph P. & Sakemoto, Ryuta, 2021. "The conditional volatility premium on currency portfolios," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
- Hertrich, Daniel, 2023. "Carry and conditional value at risk trend: Capturing the short-, intermediate-, and long-term trends of left-tail risk forecasts," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 82(C).
- Opie, Wei & Riddiough, Steven J., 2020. "Global currency hedging with common risk factors," Journal of Financial Economics, Elsevier, vol. 136(3), pages 780-805.
- Vafai, Nima & Rakowski, David, 2024. "The sources of portfolio volatility and mutual fund performance," International Review of Financial Analysis, Elsevier, vol. 91(C).
- Joseph, Byrne & Sakemoto, Ryuta, 2020. "The Conditional Risk and Return Trade-Off on Currency Portfolios," MPRA Paper 99497, University Library of Munich, Germany.
- Fan, Zhenzhen & Londono, Juan M. & Xiao, Xiao, 2022. "Equity tail risk and currency risk premiums," Journal of Financial Economics, Elsevier, vol. 143(1), pages 484-503.
- Matteo Bagnara, 2024. "Asset Pricing and Machine Learning: A critical review," Journal of Economic Surveys, Wiley Blackwell, vol. 38(1), pages 27-56, February.
- Lee, Kiryoung & Joen, Yoontae & Kim, Minki, 2022. "Which uncertainty measures matter for the cross-section of stock returns?#," Finance Research Letters, Elsevier, vol. 46(PB).
- Iwanaga, Yasuhiro & Sakemoto, Ryuta, 2024. "Cross-momentum strategies in the equity futures and currency markets," Journal of International Money and Finance, Elsevier, vol. 148(C).
- Cerutti, Eugenio M. & Obstfeld, Maurice & Zhou, Haonan, 2021.
"Covered interest parity deviations: Macrofinancial determinants,"
Journal of International Economics, Elsevier, vol. 130(C).
- Eugenio M. Cerutti & Maurice Obstfeld & Haonan Zhou, 2020. "Covered Interest Parity Deviations: Macrofinancial Determinants," NBER Chapters, in: NBER International Seminar on Macroeconomics 2020, National Bureau of Economic Research, Inc.
- Eugenio M. Cerutti & Maurice Obstfeld & Haonan Zhou, 2019. "Covered Interest Parity Deviations: Macrofinancial Determinants," NBER Working Papers 26129, National Bureau of Economic Research, Inc.
- Obstfeld, Maurice & Cerutti, Eugenio & Zhou, Haonan, 2019. "Covered Interest Parity Deviations: Macrofinancial Determinants," CEPR Discussion Papers 13886, C.E.P.R. Discussion Papers.
- Mr. Eugenio M Cerutti & Mr. Maurice Obstfeld & Haonan Zhou, 2019. "Covered Interest Parity Deviations: Macrofinancial Determinants," IMF Working Papers 2019/014, International Monetary Fund.
- Syrstad, Olav & Viswanath-Natraj, Ganesh, 2022. "Price-setting in the foreign exchange swap market: Evidence from order flow," Journal of Financial Economics, Elsevier, vol. 146(1), pages 119-142.
- Choi, Jin Ho & Suh, Sangwon, 2021. "A filtered currency carry trade," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
- Mikhail Chernov & Magnus Dahlquist & Lars Lochstoer, 2023.
"Pricing Currency Risks,"
Journal of Finance, American Finance Association, vol. 78(2), pages 693-730, April.
- Mikhail Chernov & Magnus Dahlquist & Lars A. Lochstoer, 2020. "Pricing Currency Risks," NBER Working Papers 28260, National Bureau of Economic Research, Inc.
- Chernov, Mikhail & Dahlquist, Magnus & Lochstoer, Lars, 2020. "Pricing Currency Risks," CEPR Discussion Papers 15571, C.E.P.R. Discussion Papers.
- Esfandiar Maasoumi & Jianqiu Wang & Zhuo Wang & Ke Wu, 2024. "Identifying factors via automatic debiased machine learning," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(3), pages 438-461, April.
- Sakemoto, Ryuta, 2018. "Do precious and industrial metals act as hedges and safe havens for currency portfolios?," Finance Research Letters, Elsevier, vol. 24(C), pages 256-262.
- Péter Kondor & Dimitri Vayanos, 2019.
"Liquidity Risk and the Dynamics of Arbitrage Capital,"
Journal of Finance, American Finance Association, vol. 74(3), pages 1139-1173, June.
- Péter Kondor & Dimitri Vayanos, 2014. "Liquidity Risk and the Dynamics of Arbitrage Capital," NBER Working Papers 19931, National Bureau of Economic Research, Inc.
- Kondor, Peter & Vayanos, Dimitri, 2019. "Liquidity risk and the dynamics of arbitrage capital," LSE Research Online Documents on Economics 87520, London School of Economics and Political Science, LSE Library.
- Péter Kondor & Dimitri Vayanos, 2014. "Liquidity Risk and the Dynamics of Arbitrage Capital," FMG Discussion Papers dp730, Financial Markets Group.
- Vayanos, Dimitri & Kondor, Péter, 2014. "Liquidity Risk and the Dynamics of Arbitrage Capital," CEPR Discussion Papers 9885, C.E.P.R. Discussion Papers.
- Dimitri Vayanos & Peter Kondor, 2014. "Liquidity Risk and the Dynamics of Arbitrage Capital," 2014 Meeting Papers 912, Society for Economic Dynamics.
- Kondor, Peter & Vayanos, Dimitri, 2014. "Liquidity risk and the dynamics of arbitrage capital," LSE Research Online Documents on Economics 55910, London School of Economics and Political Science, LSE Library.
- Huang, Wenqian & Ranaldo, Angelo & Schrimpf, Andreas & Somogyi, Fabricius, 2022. "Constrained Dealers and Market Efficiency," VfS Annual Conference 2022 (Basel): Big Data in Economics 264054, Verein für Socialpolitik / German Economic Association.
- Olav Syrstad & Ganesh Viswanath-Natraj, 2020. "Price-setting in the foreign exchange swap market: Evidence from order flow," Working Paper 2020/16, Norges Bank.
- Semyon Malamud & Andreas Schrimpf, 2018.
"An intermediation-based model of exchange rates,"
BIS Working Papers
743, Bank for International Settlements.
- Semyon Malamud & Andreas Schrimpf & Yuan Zhang, 2024. "An Intermediation-Based Model of Exchange Rates," Swiss Finance Institute Research Paper Series 24-01, Swiss Finance Institute.
- Semyon Malamud & Andreas Schrimpf, 2018. "An Intermediation-Based Model of Exchange Rates," Swiss Finance Institute Research Paper Series 18-14, Swiss Finance Institute, revised Jun 2018.
- Malamud, Semyon & Schrimpf, Paul, 2018. "An Intermediation-Based Model of Exchange Rates," CEPR Discussion Papers 13182, C.E.P.R. Discussion Papers.
- Lu Yang & Lei Yang & Xue Cui, 2023. "Sovereign default network and currency risk premia," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-22, December.
More about this item
JEL classification:
- F31 - International Economics - - International Finance - - - Foreign Exchange
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:oup:rfinst:v:37:y:2024:i:2:p:356-408.. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Oxford University Press (email available below). General contact details of provider: https://edirc.repec.org/data/sfsssea.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.