Federico Gavazzoni
Personal Details
First Name: | Federico |
Middle Name: | |
Last Name: | Gavazzoni |
Suffix: | |
RePEc Short-ID: | pga697 |
| |
http://federicogavazzoni.com/ | |
INSEAD - Boulevard de constance, 77305 Fontainebleau cedex | |
Terminal Degree: | 2012 Tepper School of Business Administration; Carnegie Mellon University (from RePEc Genealogy) |
Affiliation
INSEAD
Fontainebleau, Francehttp://www.insead.edu/
RePEc:edi:inseafr (more details at EDIRC)
Research output
Jump to: Working papersWorking papers
- Robert Ready & Mariano Croce & Federico Gavazzoni & Riccardo Colacito, 2016.
"Currency Risk Factors in a Recursive Multi-Country Economy,"
2016 Meeting Papers
297, Society for Economic Dynamics.
- Croce, Mariano & Gavazzoni, Federico & Colacito, Ric & Ready, Robert, 2018. "Currency Risk Factors in a Recursive Multicountry Economy," CEPR Discussion Papers 12610, C.E.P.R. Discussion Papers.
- Federico Gavazzoni & Ana Maria Santacreu, 2015.
"International R&D Spillovers and Asset Prices,"
Working Papers
2015-41, Federal Reserve Bank of St. Louis.
- Gavazzoni, Federico & Santacreu, Ana Maria, 2020. "International R&D spillovers and asset prices," Journal of Financial Economics, Elsevier, vol. 136(2), pages 330-354.
- Ana Maria Santacreu & Federico Gavazzoni, 2015. "International R&D Spillovers and Asset Prices," 2015 Meeting Papers 405, Society for Economic Dynamics.
- Ana Maria Santacreu & Federico Gavazzoni, 2014. "International Comovement through Endogenous Long Run Risk," 2014 Meeting Papers 993, Society for Economic Dynamics.
- Christopher Telmer & Batchimeg Sambalaibat & Federico Gavazzoni, 2012. "Currency Risk and Pricing Kernel Volatility," 2012 Meeting Papers 558, Society for Economic Dynamics.
- David K. Backus & Federico Gavazzoni & Christopher Telmer & Stanley E. Zin, 2010. "Monetary Policy and the Uncovered Interest Parity Puzzle," NBER Working Papers 16218, National Bureau of Economic Research, Inc.
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Working papers
- Robert Ready & Mariano Croce & Federico Gavazzoni & Riccardo Colacito, 2016.
"Currency Risk Factors in a Recursive Multi-Country Economy,"
2016 Meeting Papers
297, Society for Economic Dynamics.
- Croce, Mariano & Gavazzoni, Federico & Colacito, Ric & Ready, Robert, 2018. "Currency Risk Factors in a Recursive Multicountry Economy," CEPR Discussion Papers 12610, C.E.P.R. Discussion Papers.
Cited by:
- Matteo Maggiori & Brent Neiman & Jesse Schreger, 2018.
"International Currencies and Capital Allocation,"
NBER Working Papers
24673, National Bureau of Economic Research, Inc.
- Maggiori, Matteo & Neiman, Brent & Schreger, Jesse, 2018. "International Currencies and Capital Allocation," CEPR Discussion Papers 12973, C.E.P.R. Discussion Papers.
- Matteo Maggiori & Brent Neiman & Jesse Schreger, 2020. "International Currencies and Capital Allocation," Journal of Political Economy, University of Chicago Press, vol. 128(6), pages 2019-2066.
- Mueller, Philippe & Stathopoulos, Andreas & Vedolin, Andrea, 2017.
"International correlation risk,"
LSE Research Online Documents on Economics
84140, London School of Economics and Political Science, LSE Library.
- Mueller, Philippe & Stathopoulos, Andreas & Vedolin, Andrea, 2017. "International correlation risk," Journal of Financial Economics, Elsevier, vol. 126(2), pages 270-299.
- Andreas Stathopoulos & Andrea Vedolin & Philippe Mueller, 2012. "International Correlation Risk," 2012 Meeting Papers 818, Society for Economic Dynamics.
- Mueller, Philippe & Stathopoulos, Andreas & Vedolin, Andrea, 2014. "International correlation risk," LSE Research Online Documents on Economics 60955, London School of Economics and Political Science, LSE Library.
- Philippe Mueller & Andreas Stathopoulos & Andrea Vedolin, "undated". "International Correlation Risk," FMG Discussion Papers dp716, Financial Markets Group.
- Mueller, Philippe & Stathopoulos, Andreas & Vedolin, Andrea, 2013. "International correlation risk," LSE Research Online Documents on Economics 43087, London School of Economics and Political Science, LSE Library.
- 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.
- Colacito, Riccardo & Riddiough, Steven J. & Sarno, Lucio, 2020.
"Business cycles and currency returns,"
Journal of Financial Economics, Elsevier, vol. 137(3), pages 659-678.
- Sarno, Lucio & Colacito, Ric & Riddiough, Steven, 2019. "Business Cycles and Currency Returns," CEPR Discussion Papers 14015, C.E.P.R. Discussion Papers.
- Riccardo Colacito & Steven J. Riddiough & Lucio Sarno, 2019. "Business Cycles and Currency Returns," NBER Working Papers 26299, National Bureau of Economic Research, Inc.
- Bernoth, Kerstin & von Hagen, Jürgen & de Vries, Caspar, 2022.
"The Term Structure of Currency Futures' Risk Premia,"
EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 54(1), pages 5-38.
- Kerstin Bernoth & Jürgen Von Hagen & Casper De Vries, 2022. "The Term Structure of Currency Futures' Risk Premia," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(1), pages 5-38, February.
- Tarek A. Hassan & Thomas M. Mertens & Tony Zhang, 2015.
"Not so disconnected: exchange rates and the capital stock,"
Working Paper Series
2015-21, Federal Reserve Bank of San Francisco.
- Hassan, Tarek & Mertens, Thomas M. & Zhang, Tony, 2015. "Not so Disconnected: Exchange Rates and the Capital Stock," CEPR Discussion Papers 10744, C.E.P.R. Discussion Papers.
- Tarek A. Hassan & Thomas M. Mertens & Tony Zhang, 2016. "Not So Disconnected: Exchange Rates and the Capital Stock," NBER Chapters, in: NBER International Seminar on Macroeconomics 2015, National Bureau of Economic Research, Inc.
- Tarek Alexander Hassan & Thomas Mertens & Tony Zhang, 2015. "Not so Disconnected: Exchange Rates and the Capital Stock," NBER Working Papers 21445, National Bureau of Economic Research, Inc.
- Hassan, Tarek A. & Mertens, Thomas M. & Zhang, Tony, 2016. "Not so disconnected: Exchange rates and the capital stock," Journal of International Economics, Elsevier, vol. 99(S1), pages 43-57.
- Federico Gavazzoni & Ana Maria Santacreu, 2015.
"International R&D Spillovers and Asset Prices,"
Working Papers
2015-41, Federal Reserve Bank of St. Louis.
- Ana Maria Santacreu & Federico Gavazzoni, 2015. "International R&D Spillovers and Asset Prices," 2015 Meeting Papers 405, Society for Economic Dynamics.
- Gavazzoni, Federico & Santacreu, Ana Maria, 2020. "International R&D spillovers and asset prices," Journal of Financial Economics, Elsevier, vol. 136(2), pages 330-354.
- Fraiberger, Samuel P. & Lee, Do & Puy, Damien & Ranciere, Romain, 2021.
"Media sentiment and international asset prices,"
Journal of International Economics, Elsevier, vol. 133(C).
- Samuel P. Fraiberger & Dongyeol Lee & Mr. Damien Puy & Mr. Romain Ranciere, 2018. "Media Sentiment and International Asset Prices," IMF Working Papers 2018/274, International Monetary Fund.
- Rancière, Romain & Fraiberger, Samuel & , & Puy, Damien, 2018. "Media Sentiment and International Asset Prices," CEPR Discussion Papers 13366, C.E.P.R. Discussion Papers.
- Samuel P. Fraiberger & Do Lee & Damien Puy & Romain Rancière, 2018. "Media Sentiment and International Asset Prices," NBER Working Papers 25353, National Bureau of Economic Research, Inc.
- Fraiberger,Samuel Paul & Lee,Do & Puy,Damien & Rancier,Romain, 2018. "Media Sentiment and International Asset Prices," Policy Research Working Paper Series 8649, The World Bank.
- Juan M. Londono & Nancy R. Xu, 2021. "The Global Determinants of International Equity Risk Premiums," International Finance Discussion Papers 1318, Board of Governors of the Federal Reserve System (U.S.).
- Charles W. Calomiris & Harry Mamaysky, 2019. "Monetary Policy and Exchange Rate Returns: Time-Varying Risk Regimes," NBER Working Papers 25714, National Bureau of Economic Research, Inc.
- Aleksejs Krecetovs & Pasquale Della Corte, 2016. "Macro uncertainty and currency premia," 2016 Meeting Papers 624, Society for Economic Dynamics.
- Daniel Juravle & Edina Erdei & Gyorgy Kossa & Sándor Kovacs & Jozsef Popp & Judit Olah, 2022. "Examining the Correlations Between Industry 4.0 Assets, External and Internal Risk Factors and Business Performance Among Hungarian Food Companies," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, vol. 24(59), pages 143-143.
- Thomas Mertens & Tarek Hassan, 2017.
"Currency Manipulation,"
2017 Meeting Papers
175, Society for Economic Dynamics.
- Hassan, Tarek & Mertens, Thomas M. & Zhang, Tony, 2016. "Currency Manipulation," CEPR Discussion Papers 11581, C.E.P.R. Discussion Papers.
- Weithing Zhang & Thomas Mertens & Tarek Hassan, 2014. "Currency Manipulation," 2014 Meeting Papers 401, Society for Economic Dynamics.
- Elminejad, Ali & Havranek, Tomas & Irsova, Zuzana, 2022.
"Relative Risk Aversion: A Meta-Analysis,"
EconStor Preprints
260586, ZBW - Leibniz Information Centre for Economics.
- Elminejad, Ali & Havranek, Tomas & Irsova, Zuzana, 2022. "Relative Risk Aversion: A Meta-Analysis," MetaArXiv b8uhe, Center for Open Science.
- Engel, Charles & Bianchi, Javier & Bigio, Saki, 2021.
"Scrambling for Dollars: International Liquidity, Banks and Exchange Rates,"
CEPR Discussion Papers
16712, C.E.P.R. Discussion Papers.
- Javier Bianchi & Saki Bigio & Charles Engel, 2021. "Scrambling for Dollars: International Liquidity, Banks and Exchange Rates," NBER Working Papers 29457, National Bureau of Economic Research, Inc.
- Javier Bianchi & Saki Bigio & Charles Engel, 2021. "Scrambling for Dollars: International Liquidity, Banks and Exchange Rates," Working Papers 786, Federal Reserve Bank of Minneapolis.
- Javier Bianchi & Saki Bigio & Charles Engel, 2022. "Scrambling for Dollars: International Liquidity, Banks and Exchange Rates," Working Papers 182, Peruvian Economic Association.
- Hassan, Ramin & Loualiche, Erik & Pecora, Alexandre R. & Ward, Colin, 2023. "International trade and the risk in bilateral exchange rates," Journal of Financial Economics, Elsevier, vol. 150(2).
- Dim, Chukwuma & Koerner, Kevin & Wolski, Marcin & Zwart, Sanne, 2022. "Hot off the press: News-implied sovereign default risk," EIB Working Papers 2022/06, European Investment Bank (EIB).
- Falk Bräuning & Victoria Ivashina, 2020.
"Monetary Policy and Global Banking,"
Journal of Finance, American Finance Association, vol. 75(6), pages 3055-3095, December.
- Falk Bräuning & Victoria Ivashina, 2016. "Monetary policy and global banking," Working Papers 17-5, Federal Reserve Bank of Boston.
- Falk Brauning & Victoria Ivashina, 2017. "Monetary Policy and Global Banking," NBER Working Papers 23316, National Bureau of Economic Research, Inc.
- Ric Colacito & Max Croce & Steven Ho & Philip Howard, 2018.
"BKK the EZ Way: International Long-Run Growth News and Capital Flows,"
American Economic Review, American Economic Association, vol. 108(11), pages 3416-3449, November.
- Croce, Mariano & Colacito, Ric & Ho, Steven & Howard, Philip, 2018. "BKK the EZ Way. International Long-Run Growth News and Capital Flows," CEPR Discussion Papers 12783, C.E.P.R. Discussion Papers.
- Mykola Babiak & Jozef Barunik, 2021. "Currency Network Risk," Papers 2101.09738, arXiv.org, revised Jul 2021.
- Tarek A. Hassan & Thomas M. Mertens & Tony Zhang, 2016.
"A Risk-based Theory of Exchange Rate Stabilization,"
NBER Working Papers
22790, National Bureau of Economic Research, Inc.
- Tarek A Hassan & Thomas M Mertens & Tony Zhang, 2023. "A Risk-based Theory of Exchange Rate Stabilization," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 90(2), pages 879-911.
- Tarek A. Hassan & Thomas M. Mertens & Tony Zhang, 2020. "A Risk-based Theory of Exchange Rate Stabilization," Working Paper Series 2016-15, Federal Reserve Bank of San Francisco.
- YiLi Chien & Hanno Lustig & Kanda Naknoi, 2015.
"Why Are Exchange Rates So Smooth? A Household Finance Explanation,"
Working Papers
2015-39, Federal Reserve Bank of St. Louis.
- Chien, YiLi & Lustig, Hanno & Naknoi, Kanda, 2020. "Why are exchange rates so smooth? A household finance explanation," Journal of Monetary Economics, Elsevier, vol. 112(C), pages 129-144.
- YiLi Chien & Hanno Lustig & Kanda Naknoi, 2017. "Why Are Exchange Rates So Smooth? A Household Finance Explanation," Working papers 2017-20, University of Connecticut, Department of Economics.
- Tarek A. Hassan & Tony Zhang, 2021.
"The Economics of Currency Risk,"
Annual Review of Economics, Annual Reviews, vol. 13(1), pages 281-307, August.
- Hassan, Tarek & Zhang, Tony, 2020. "The Economics of Currency Risk," CEPR Discussion Papers 15313, C.E.P.R. Discussion Papers.
- Tarek Alexander Hassan & Tony Zhang, 2020. "The Economics of Currency Risk," NBER Working Papers 27847, National Bureau of Economic Research, Inc.
- Hutchinson, Mark C. & Kyziropoulos, Panagiotis E. & O'Brien, John & O'Reilly, Philip & Sharma, Tripti, 2022. "Are carry, momentum and value still there in currencies?," International Review of Financial Analysis, Elsevier, vol. 83(C).
- Kim, Daehwan & Moneta, Fabio, 2021. "Long-term foreign exchange risk premia and inflation risk," International Review of Financial Analysis, Elsevier, vol. 78(C).
- Ferreira, Alex & Matos, Paulo, 2020. "Precautionary risks for an open economy," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 154-167.
- Felix Gerding & Espen Henriksen & Ina Simonovska, 2014.
"The Risky Capital of Emerging Markets,"
NBER Working Papers
20769, National Bureau of Economic Research, Inc.
- Ina Simonovska & Espen Henriksen & Joel David, 2016. "The Risky Capital of Emerging Markets," 2016 Meeting Papers 125, Society for Economic Dynamics.
- Park, Sunjin, 2022. "Heterogeneous beliefs in macroeconomic growth prospects and the carry risk premium," Journal of Banking & Finance, Elsevier, vol. 136(C).
- Chen, Qi-an & Li, Huashi, 2023. "How does exchange rate elasticity of aggregate consumption adjust currency risk price in the stock market?," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 590-610.
- Gurdip Bakshi & Xiaohui Gao & George Panayotov, 2021. "A Theory of Dissimilarity Between Stochastic Discount Factors," Management Science, INFORMS, vol. 67(7), pages 4602-4622, July.
- Harjoat S. Bhamra & Raman Uppal, 2019.
"Does Household Finance Matter? Small Financial Errors with Large Social Costs,"
American Economic Review, American Economic Association, vol. 109(3), pages 1116-1154, March.
- Uppal, Raman & Bhamra, Harjoat Singh, 2017. "Does Household Finance Matter? Small Financial Errors with Large Social Costs," CEPR Discussion Papers 12414, C.E.P.R. Discussion Papers.
- Zhenzhen Fan & Juan M. Londono & Xiao Xiao, 2019. "US Equity Tail Risk and Currency Risk Premia," International Finance Discussion Papers 1253, Board of Governors of the Federal Reserve System (U.S.).
- Corte, Pasquale Della & Kozhan, Roman & Neuberger, Anthony, 2021. "The cross-section of currency volatility premia," Journal of Financial Economics, Elsevier, vol. 139(3), pages 950-970.
- Gurdip Bakshi & Mario Cerrato & John Crosby, 2016. "Studying the Implications of Consumption and Asset Return Data for Stochastic Discount Factors in Incomplete International Economies," Working Papers 2017_01, Business School - Economics, University of Glasgow.
- Maurer, Thomas & Tran, Ngoc-Khanh, 2021. "Entangled risks in incomplete FX markets," Journal of Financial Economics, Elsevier, vol. 142(1), pages 146-165.
- Rojo-Suárez, Javier & Alonso-Conde, Ana B. & Lago-Balsalobre, Rubén, 2024. "Industry bubbles and unexpected consumption shocks: A cross-sectional explanation of stock returns under recursive preferences," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 1156-1169.
- Fernanda Gonçalves & Giuliano Ferreira & Alex Ferreira & Pedro Scatimburgo, 2022. "Currency returns and systematic risk," Manchester School, University of Manchester, vol. 90(6), pages 609-647, December.
- 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.
- Kimberly Berg & Nelson C. Mark, 2016.
"Global Macro Risks in Currency Excess Returns,"
Staff Working Papers
16-32, Bank of Canada.
- Kimberly A. Berg & Nelson Mark, 2017. "Global Macro Risks in Currency Excess Returns," NBER Working Papers 23764, National Bureau of Economic Research, Inc.
- Berg, Kimberly A. & Mark, Nelson C., 2018. "Global macro risks in currency excess returns," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 300-315.
- Dahlquist, Magnus & Hasseltoft, Henrik, 2020. "Economic momentum and currency returns," Journal of Financial Economics, Elsevier, vol. 136(1), pages 152-167.
- Filipe, Sara Ferreira & Nissinen, Juuso & Suominen, Matti, 2023. "Currency carry trades and global funding risk," Journal of Banking & Finance, Elsevier, vol. 149(C).
- Zuzana Rowland & George Lazaroiu & Ivana Podhorská, 2020. "Use of Neural Networks to Accommodate Seasonal Fluctuations When Equalizing Time Series for the CZK/RMB Exchange Rate," Risks, MDPI, vol. 9(1), pages 1-21, December.
- Lorenzo Garlappi & Jack Favilukis, 2015. "The Carry Trade and UIP when Markets are Incomplete," 2015 Meeting Papers 242, Society for Economic Dynamics.
- Mikhail Chernov & Magnus Dahlquist & Lars Lochstoer, 2023.
"Pricing Currency Risks,"
Journal of Finance, American Finance Association, vol. 78(2), pages 693-730, April.
- Chernov, Mikhail & Dahlquist, Magnus & Lochstoer, Lars, 2020. "Pricing Currency Risks," CEPR Discussion Papers 15571, C.E.P.R. Discussion Papers.
- Mikhail Chernov & Magnus Dahlquist & Lars A. Lochstoer, 2020. "Pricing Currency Risks," NBER Working Papers 28260, National Bureau of Economic Research, Inc.
- Jiang, Zhengyang & Richmond, Robert J., 2023. "Origins of international factor structures," Journal of Financial Economics, Elsevier, vol. 147(1), pages 1-26.
- Aleksandra Babii, 2019. "Exchange Rates Co-movement and International Trade," 2019 Meeting Papers 1150, Society for Economic Dynamics.
- Mirela Sandulescu & Fabio Trojani & Andrea Vedolin, 2021. "Model‐Free International Stochastic Discount Factors," Journal of Finance, American Finance Association, vol. 76(2), pages 935-976, April.
- Mykola Babiak & Jozef Barunik, 2021. "Uncertainty Network Risk and Currency Returns," CERGE-EI Working Papers wp687, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
- Mangirdas Morkunas & Gintaras Cernius & Gintare Giriuniene, 2019. "Assessing Business Risks of Natural Gas Trading Companies: Evidence from GET Baltic," Energies, MDPI, vol. 12(14), pages 1-14, July.
- Federico Gavazzoni & Ana Maria Santacreu, 2015.
"International R&D Spillovers and Asset Prices,"
Working Papers
2015-41, Federal Reserve Bank of St. Louis.
- Gavazzoni, Federico & Santacreu, Ana Maria, 2020. "International R&D spillovers and asset prices," Journal of Financial Economics, Elsevier, vol. 136(2), pages 330-354.
- Ana Maria Santacreu & Federico Gavazzoni, 2015. "International R&D Spillovers and Asset Prices," 2015 Meeting Papers 405, Society for Economic Dynamics.
Cited by:
- Croce, M.M. & Nguyen, Thien T. & Raymond, S. & Schmid, L., 2019. "Government debt and the returns to innovation," Journal of Financial Economics, Elsevier, vol. 132(3), pages 205-225.
- Annika Alexius & Daniel Spang, 2018. "Stock prices and GDP in the long run," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 8(4), pages 1-7.
- Anagnostopoulos, Alexios & Atesagaoglu, Orhan Erem & Faraglia, Elisa & Giannitsarou, Chryssi, 2022.
"Cross-Country Stock Market Comovement: A Macro Perspective,"
CEPR Discussion Papers
16021, C.E.P.R. Discussion Papers.
- Anagnostopoulos, Alexios & Atesagaoglu, Orhan Erem & Faraglia, Elisa & Giannitsarou, Chryssi, 2022. "Cross country stock market comovement: A macro perspective," Journal of Monetary Economics, Elsevier, vol. 130(C), pages 34-48.
- Chen, Shiu-Sheng, 2017. "Exchange rate undervaluation and R&D activity," Journal of International Money and Finance, Elsevier, vol. 72(C), pages 148-160.
- Grüning, Patrick, 2017.
"Heterogeneity in the Internationalization of R&D: Implications for anomalies in finance and macroeconomics,"
SAFE Working Paper Series
185, Leibniz Institute for Financial Research SAFE.
- Patrick Grüning, 2017. "Heterogeneity in the Internationalization of R&D: Implications for Anomalies in Finance and Macroeconomics," Bank of Lithuania Occasional Paper Series 16, Bank of Lithuania.
- Grüning, Patrick, 2018. "Heterogeneity in the internationalization of R&D: Implications for anomalies in finance and macroeconomics," Finance Research Letters, Elsevier, vol. 26(C), pages 132-138.
- Grüning, Patrick, 2016.
"International endogenous growth, macro anomalies, and asset prices,"
SAFE Working Paper Series
83, Leibniz Institute for Financial Research SAFE, revised 2016.
- Grüning, Patrick, 2017. "International endogenous growth, macro anomalies, and asset prices," Journal of Economic Dynamics and Control, Elsevier, vol. 78(C), pages 118-148.
- Donadelli, Michael & Grüning, Patrick, 2017.
"Innovation dynamics and fiscal policy: Implications for growth, asset prices, and welfare,"
SAFE Working Paper Series
171, Leibniz Institute for Financial Research SAFE.
- Michael Donadelli & Patrick Gruning, 2017. "Innovation Dynamics and Fiscal Policy: Implications for Growth, Asset Prices, and Welfare," Bank of Lithuania Working Paper Series 43, Bank of Lithuania.
- Donadelli, Michael & Grüning, Patrick, 2021. "Innovation dynamics and fiscal policy: Implications for growth, asset prices, and welfare," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
- YiLi Chien & Hanno Lustig & Kanda Naknoi, 2015.
"Why Are Exchange Rates So Smooth? A Household Finance Explanation,"
Working Papers
2015-39, Federal Reserve Bank of St. Louis.
- Chien, YiLi & Lustig, Hanno & Naknoi, Kanda, 2020. "Why are exchange rates so smooth? A household finance explanation," Journal of Monetary Economics, Elsevier, vol. 112(C), pages 129-144.
- YiLi Chien & Hanno Lustig & Kanda Naknoi, 2017. "Why Are Exchange Rates So Smooth? A Household Finance Explanation," Working papers 2017-20, University of Connecticut, Department of Economics.
- Giuliano Curatola & Michael Donadelli & Patrick Grüning, 2022.
"Technology trade with asymmetric tax regimes and heterogeneous labour markets: Implications for macro quantities and asset prices,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 3805-3831, October.
- Giuliano Curatola & Michael Donadelli & Patrick Grüning, 2017. "Technology Trade with Asymmetric Tax Regimes and Heterogeneous Labor Markets: Implications for Macro Quantities and Asset Prices," Bank of Lithuania Working Paper Series 47, Bank of Lithuania.
- Curatola, Giuliano & Donadelli, Michael & Grüning, Patrick, 2017. "Technology trade with asymmetric tax regimes and heterogeneous labor markets: Implications for macro quantities and asset prices," SAFE Working Paper Series 163, Leibniz Institute for Financial Research SAFE, revised 2017.
- Kanda Naknoi & Hanno Lustig & YiLi Chien, 2017. "Why Are Exchange Rates So Smooth? A Heterogeneous Portfolio Explanation," 2017 Meeting Papers 214, Society for Economic Dynamics.
- Patrick Grüning & Justina Banionienė & Lina Dagilienė & Michael Donadelli & Marcus Jüppner & Renatas Kizys & Kai Lessmann, 2021. "The Quadrilemma of a Small Open Circular Economy Through a Prism of the 9R Strategies," Bank of Lithuania Working Paper Series 96, Bank of Lithuania.
- Hsu, Yen-Ju & Wang, Yanzhi, 2023. "Technology spillover, corporate investment, and stock returns," Journal of Empirical Finance, Elsevier, vol. 73(C), pages 238-250.
- Jiang, Zhengyang & Richmond, Robert J., 2023. "Origins of international factor structures," Journal of Financial Economics, Elsevier, vol. 147(1), pages 1-26.
- Schmid, Lukas & Croce, Mariano & Raymond, Steve & Nguyen, Thiên Tung, 2018. "Government Debt and the Returns to Innovation," CEPR Discussion Papers 12617, C.E.P.R. Discussion Papers.
- Ana Maria Santacreu & Federico Gavazzoni, 2014.
"International Comovement through Endogenous Long Run Risk,"
2014 Meeting Papers
993, Society for Economic Dynamics.
Cited by:
- Grüning, Patrick, 2016.
"International endogenous growth, macro anomalies, and asset prices,"
SAFE Working Paper Series
83, Leibniz Institute for Financial Research SAFE, revised 2016.
- Grüning, Patrick, 2017. "International endogenous growth, macro anomalies, and asset prices," Journal of Economic Dynamics and Control, Elsevier, vol. 78(C), pages 118-148.
- Grüning, Patrick, 2016.
"International endogenous growth, macro anomalies, and asset prices,"
SAFE Working Paper Series
83, Leibniz Institute for Financial Research SAFE, revised 2016.
- Christopher Telmer & Batchimeg Sambalaibat & Federico Gavazzoni, 2012.
"Currency Risk and Pricing Kernel Volatility,"
2012 Meeting Papers
558, Society for Economic Dynamics.
Cited by:
- Croce, Mariano & Colacito, Ric & Liu, Yang & Shaliastovich, Ivan, 2018.
"Volatility Risk Pass-Through,"
CEPR Discussion Papers
13325, C.E.P.R. Discussion Papers.
- Yang Liu & Mariano Croce & Ivan Shaliastovich & Ric Colacito, 2016. "Volatility Risk Pass-Through," 2016 Meeting Papers 135, Society for Economic Dynamics.
- Riccardo Colacito & Mariano Max Croce & Yang Liu & Ivan Shaliastovich, 2018. "Volatility Risk Pass-through," NBER Working Papers 25276, National Bureau of Economic Research, Inc.
- Hanno Lustig & Andreas Stathopoulos & Adrien Verdelhan, 2013.
"The Term Structure of Currency Carry Trade Risk Premia,"
NBER Working Papers
19623, National Bureau of Economic Research, Inc.
- Lustig, Hanno & Stathopoulos, Andreas & Verdelhan, Adrien, 2017. "The Term Structure of Currency Carry Trade Risk Premia," Research Papers repec:ecl:stabus:3411, Stanford University, Graduate School of Business.
- Andreas Stathopoulos & Adrien Verdelhan & Hanno Lustig, 2014. "The Term Structure of Currency Carry Trade Risk Premia," 2014 Meeting Papers 837, Society for Economic Dynamics.
- Fousseni Chabi-Yo & Riccardo Colacito, 2019. "The Term Structures of Coentropy in International Financial Markets," Management Science, INFORMS, vol. 65(8), pages 3541-3558, August.
- Evans, Martin, 2020. "Exchange Rates and Liquidity Risk," MPRA Paper 102702, University Library of Munich, Germany.
- A. Craig Burnside & Jeremy J. Graveline, 2012.
"On the Asset Market View of Exchange Rates,"
NBER Working Papers
18646, National Bureau of Economic Research, Inc.
- A Craig Burnside & Jeremy J Graveline, 2020. "On the Asset Market View of Exchange Rates," The Review of Financial Studies, Society for Financial Studies, vol. 33(1), pages 239-260.
- Andreas Stathopoulos & Adrien Verdelhan & Hanno Lustig, 2017.
"Nominal Exchange Rate Stationarity and Long-Term Bond Returns,"
2017 Meeting Papers
1633, Society for Economic Dynamics.
- Lustig, Hanno & Stathopoulos, Andreas & Verdelhan, Adrien, 2016. "Nominal Exchange Rate Stationarity and Long-Term Bond Returns," Research Papers 3411, Stanford University, Graduate School of Business.
- Gurdip Bakshi & Mario Cerrato & John Crosby, 2016. "Studying the Implications of Consumption and Asset Return Data for Stochastic Discount Factors in Incomplete International Economies," Working Papers 2017_01, Business School - Economics, University of Glasgow.
- Hanno Lustig & Nikolai Roussanov & Adrien Verdelhan, 2010.
"Countercyclical Currency Risk Premia,"
NBER Working Papers
16427, National Bureau of Economic Research, Inc.
- Lustig, Hanno & Roussanov, Nikolai & Verdelhan, Adrien, 2014. "Countercyclical currency risk premia," Journal of Financial Economics, Elsevier, vol. 111(3), pages 527-553.
- Thomas A. Maurer & Thuy-Duong Tô & Ngoc-Khanh Tran, 2019. "Pricing Risks Across Currency Denominations," Management Science, INFORMS, vol. 65(11), pages 5308-5336, November.
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"Volatility Risk Pass-Through,"
CEPR Discussion Papers
13325, C.E.P.R. Discussion Papers.
- David K. Backus & Federico Gavazzoni & Christopher Telmer & Stanley E. Zin, 2010.
"Monetary Policy and the Uncovered Interest Parity Puzzle,"
NBER Working Papers
16218, National Bureau of Economic Research, Inc.
Cited by:
- Alfred Guender, 2011. "CPI Inflation Targeting and the UIP Puzzle: An Appraisal of Instrument and Target Rules," Working Papers in Economics 11/18, University of Canterbury, Department of Economics and Finance.
- Yamani, Ehab, 2019. "Diversification role of currency momentum for carry trade: Evidence from financial crises," Journal of Multinational Financial Management, Elsevier, vol. 49(C), pages 1-19.
- Mueller, Philippe & Stathopoulos, Andreas & Vedolin, Andrea, 2017.
"International correlation risk,"
LSE Research Online Documents on Economics
84140, London School of Economics and Political Science, LSE Library.
- Mueller, Philippe & Stathopoulos, Andreas & Vedolin, Andrea, 2017. "International correlation risk," Journal of Financial Economics, Elsevier, vol. 126(2), pages 270-299.
- Andreas Stathopoulos & Andrea Vedolin & Philippe Mueller, 2012. "International Correlation Risk," 2012 Meeting Papers 818, Society for Economic Dynamics.
- Mueller, Philippe & Stathopoulos, Andreas & Vedolin, Andrea, 2014. "International correlation risk," LSE Research Online Documents on Economics 60955, London School of Economics and Political Science, LSE Library.
- Philippe Mueller & Andreas Stathopoulos & Andrea Vedolin, "undated". "International Correlation Risk," FMG Discussion Papers dp716, Financial Markets Group.
- Mueller, Philippe & Stathopoulos, Andreas & Vedolin, Andrea, 2013. "International correlation risk," LSE Research Online Documents on Economics 43087, London School of Economics and Political Science, LSE Library.
- Croce, Mariano & Colacito, Ric & Liu, Yang & Shaliastovich, Ivan, 2018.
"Volatility Risk Pass-Through,"
CEPR Discussion Papers
13325, C.E.P.R. Discussion Papers.
- Yang Liu & Mariano Croce & Ivan Shaliastovich & Ric Colacito, 2016. "Volatility Risk Pass-Through," 2016 Meeting Papers 135, Society for Economic Dynamics.
- Riccardo Colacito & Mariano Max Croce & Yang Liu & Ivan Shaliastovich, 2018. "Volatility Risk Pass-through," NBER Working Papers 25276, National Bureau of Economic Research, Inc.
- Varela, Liliana & Salomao, Juliana, 2018.
"Exchange Rate Exposure and Firm Dynamics,"
CEPR Discussion Papers
12654, C.E.P.R. Discussion Papers.
- Salomao, Juliana & Varela, Liliana, 2022. "Exchange rate exposure and firm dynamics," LSE Research Online Documents on Economics 108168, London School of Economics and Political Science, LSE Library.
- Salomao, Juliana & Varela, Liliana, 2018. "Exchange Rate Exposure and Firm Dynamics," CAGE Online Working Paper Series 364, Competitive Advantage in the Global Economy (CAGE).
- Varela, Liliana & Salomao, Juliana, 2018. "Exchange Rate Exposure and Firm Dynamics," The Warwick Economics Research Paper Series (TWERPS) 1157, University of Warwick, Department of Economics.
- Juliana Salomao & Liliana Varela, 2018. "Exchange Rate Exposure and Firm Dynamics," 2018 Meeting Papers 523, Society for Economic Dynamics.
- Juliana Salomao & Liliana Varela, 2022. "Exchange Rate Exposure and Firm Dynamics," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 89(1), pages 481-514.
- Salomao, Juliana & Varela, Liliana, 2020. "Exchange rate exposure and firm dynamics," LSE Research Online Documents on Economics 118906, London School of Economics and Political Science, LSE Library.
- Andrew Ang & Allan Timmermann, 2011.
"Regime Changes and Financial Markets,"
NBER Working Papers
17182, National Bureau of Economic Research, Inc.
- Andrew Ang & Allan Timmermann, 2012. "Regime Changes and Financial Markets," Annual Review of Financial Economics, Annual Reviews, vol. 4(1), pages 313-337, October.
- Timmermann, Allan & Ang, Andrew, 2011. "Regime Changes and Financial Markets," CEPR Discussion Papers 8480, C.E.P.R. Discussion Papers.
- Christina Anderl & Guglielmo Maria Caporale, 2022.
"Exchange rate parities and Taylor rule deviations,"
Empirical Economics, Springer, vol. 63(4), pages 1809-1835, October.
- Christina Anderl & Guglielmo Maria Caporale, 2021. "Exchange Rate Parities and Taylor Rule Deviations," CESifo Working Paper Series 8961, CESifo.
- Charles Engel, 2013.
"Exchange Rates and Interest Parity,"
NBER Working Papers
19336, National Bureau of Economic Research, Inc.
- Engel, Charles, 2014. "Exchange Rates and Interest Parity," Handbook of International Economics, in: Gopinath, G. & Helpman, . & Rogoff, K. (ed.), Handbook of International Economics, edition 1, volume 4, chapter 0, pages 453-522, Elsevier.
- Jung, Kuk Mo & Lee, Seungduck, 2015. "A Liquidity-Based Resolution of the Uncovered Interest Parity Puzzle," MPRA Paper 64164, University Library of Munich, Germany.
- Henriksen, Espen & Kydland, Finn E. & Šustek, Roman, 2013.
"Globally correlated nominal fluctuations,"
Journal of Monetary Economics, Elsevier, vol. 60(6), pages 613-631.
- Espen Henriksen & Finn E. Kydland & Roman Sustek, 2009. "Globally Correlated Nominal Fluctuations," NBER Working Papers 15123, National Bureau of Economic Research, Inc.
- Seungduck Lee & Kuk Mo Jung, 2019. "A Liquidity-Based Resolution of the Uncovered Interest Parity Puzzle," Working Papers 1902, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy).
- Seungduck Lee & Kuk Mo Jung, 2020. "A Liquidity‐Based Resolution of the Uncovered Interest Parity Puzzle," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(6), pages 1397-1433, September.
- Atanasov, Victoria & Nitschka, Thomas, 2014.
"Currency excess returns and global downside market risk,"
Journal of International Money and Finance, Elsevier, vol. 47(C), pages 268-285.
- Victoria Galsband & Dr. Thomas Nitschka, 2013. "Currency excess returns and global downside market risk," Working Papers 2013-07, Swiss National Bank.
- Federico Gavazzoni & Ana Maria Santacreu, 2015.
"International R&D Spillovers and Asset Prices,"
Working Papers
2015-41, Federal Reserve Bank of St. Louis.
- Ana Maria Santacreu & Federico Gavazzoni, 2015. "International R&D Spillovers and Asset Prices," 2015 Meeting Papers 405, Society for Economic Dynamics.
- Gavazzoni, Federico & Santacreu, Ana Maria, 2020. "International R&D spillovers and asset prices," Journal of Financial Economics, Elsevier, vol. 136(2), pages 330-354.
- Ana Santacreu & Ilian Mihov, 2013.
"Exchange rates as an instrument of monetary policy,"
2013 Meeting Papers
773, Society for Economic Dynamics.
- Mihov, Ilian & Heipertz, Jonas & Santacreu, Ana, 2017. "The Exchange Rate as an Instrument of Monetary Policy," CEPR Discussion Papers 12137, C.E.P.R. Discussion Papers.
- Charles Engel, 2015.
"Exchange Rates, Interest Rates, and the Risk Premium,"
NBER Working Papers
21042, National Bureau of Economic Research, Inc.
- Charles Engel, 2016. "Exchange Rates, Interest Rates, and the Risk Premium," American Economic Review, American Economic Association, vol. 106(2), pages 436-474, February.
- Aloosh, Arash, 2014. "Global Variance Risk Premium and Forex Return Predictability," MPRA Paper 59931, University Library of Munich, Germany.
- Diana Zigraiova & Tomas Havranek & Jiri Novak, 2020.
"How puzzling is the forward premium puzzle? A meta-analysis,"
Working Papers
46, European Stability Mechanism.
- Diana Zigraiova & Tomas Havranek & Jiri Novak, 2020. "How Puzzling Is the Forward Premium Puzzle? A Meta-Analysis," Working Papers IES 2020/6, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Feb 2020.
- Zigraiova, Diana & Havranek, Tomas & Irsova, Zuzana & Novak, Jiri, 2021. "How puzzling is the forward premium puzzle? A meta-analysis," European Economic Review, Elsevier, vol. 134(C).
- Zigraiova, Diana & Havranek, Tomas & Novak, Jiri, 2020. "How Puzzling Is the Forward Premium Puzzle? A Meta-Analysis," EconStor Preprints 213578, ZBW - Leibniz Information Centre for Economics.
- Havranek, Tomas & Novak, Jiri & Zigraiova, Diana, 2020. "How puzzling is the forward premium puzzle? A meta-analysis," MetaArXiv 348kc, Center for Open Science.
- Havranek, Tomas & Zigraiova, Diana & Irsova, Zuzana & Novak, Jiri, 2021. "How Puzzling Is the Forward Premium Puzzle? A Meta-Analysis," CEPR Discussion Papers 15817, C.E.P.R. Discussion Papers.
- Borisenko, Dmitry & Pozdeev, Igor, 2017. "Monetary Policy and Currency Returns: the Foresight Saga," Working Papers on Finance 1708, University of St. Gallen, School of Finance, revised 1710.
- Charles W. Calomiris & Harry Mamaysky, 2019. "Monetary Policy and Exchange Rate Returns: Time-Varying Risk Regimes," NBER Working Papers 25714, National Bureau of Economic Research, Inc.
- Alfred V Guender, 2015. "International Evidence on the Role of Monetary Policy in the Uncovered Interest Rate Parity Puzzle," Working Papers in Economics 15/15, University of Canterbury, Department of Economics and Finance.
- Engel, Charles, 2011.
"The Real Exchange Rate, Real Interest Rates, and the Risk Premium,"
Economics Series
265, Institute for Advanced Studies.
- Charles Engel, 2011. "The Real Exchange Rate, Real Interest Rates, and the Risk Premium," NBER Working Papers 17116, National Bureau of Economic Research, Inc.
- Charles Engel, 2011. "The Real Exchange Rate, Real Interest Rates, and the Risk Premium," Working Papers 272011, Hong Kong Institute for Monetary Research.
- Shaowen Luo, 2023. "Risk and return in the foreign exchange market: Measurement without VARs," International Finance, Wiley Blackwell, vol. 26(1), pages 64-81, April.
- Ali, Syed Zahid & Anwar, Sajid, 2022. "Risk-premium shocks and the prudent exchange rate policy," International Review of Economics & Finance, Elsevier, vol. 77(C), pages 97-122.
- Cheolbeom Park & Sookyung Park, 2014.
"Can Monetary Policy Cause the Uncovered Interest Parity Puzzle?,"
Discussion Paper Series
1404, Institute of Economic Research, Korea University.
- Park, Cheolbeom & Park, Sookyung, 2017. "Can monetary policy cause the uncovered interest parity puzzle?," Japan and the World Economy, Elsevier, vol. 41(C), pages 34-44.
- Jonas Heipertz & Ilian Mihov & Ana Maria Santacreu, 2017.
"Managing Macroeconomic Fluctuations with Flexible Exchange Rate Targeting,"
Working Papers
2017-028, Federal Reserve Bank of St. Louis, revised 16 Jan 2022.
- Heipertz, Jonas & Mihov, Ilian & Santacreu, Ana Maria, 2022. "Managing macroeconomic fluctuations with flexible exchange rate targeting," Journal of Economic Dynamics and Control, Elsevier, vol. 135(C).
- Jaramillo Franco, Miguel & Serván Lozano, Sergio, 2012. "Modeling exchange rate dynamics in Peru: A cointegration approach using the UIP and PPP," MPRA Paper 70772, University Library of Munich, Germany.
- Deebii Nwiado & Lezaasi LeneeTorbira, 2016. "A Panel Data Analysis of the Validity of Uncovered Interest Rate Parity (UIRP) in Selected African Countries," Research in World Economy, Research in World Economy, Sciedu Press, vol. 7(2), pages 15-25, December.
- Nikhil Patel, 2016. "International Trade Finance and the Cost Channel of Monetary Policy in Open Economies," BIS Working Papers 539, Bank for International Settlements.
- Jeremy Graveline & Irina Zviadadze & Mikhail Chernov, 2012.
"Crash Risk in Currency Returns,"
2012 Meeting Papers
753, Society for Economic Dynamics.
- Chernov, Mikhail & Graveline, Jeremy & Zviadadze, Irina, 2018. "Crash Risk in Currency Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 53(1), pages 137-170, February.
- Greg Farrell & Nicola Viegi & Shakill Hassan, 2012.
"The High-Frequency Response of the Rand-Dollar rate to Inflation Surprises,"
Working Papers
279, Economic Research Southern Africa.
- Dr. Greg Farrell & Dr. Shakill Hassan & Prof. Nicola Viegi, 2012. "The HighFrequency Response of the RandDollar Rate to Inflation Surprises," Working Papers 5028, South African Reserve Bank.
- Greg Farrell & Shakill Hassan & Nicola Viegi, 2012. "The High-Frequency Response of the Rand-Dollar Rate to Inflation Surprises," Working Papers 201215, University of Pretoria, Department of Economics.
- Cavusoglu, Nevin & Goldberg, Michael D. & Stillwagon, Josh, 2021. "Currency returns and downside risk: Debt, volatility, and the gap from benchmark values," Journal of Macroeconomics, Elsevier, vol. 68(C).
- Pierpaolo Benigno & Salvatore Nisticò, 2009.
"International Portfolio Allocation under Model Uncertainty,"
NBER Working Papers
14734, National Bureau of Economic Research, Inc.
- Pierpaolo Benigno & Salvatore Nisticò, 2012. "International Portfolio Allocation under Model Uncertainty," American Economic Journal: Macroeconomics, American Economic Association, vol. 4(1), pages 144-189, January.
- A. Craig Burnside & Jeremy J. Graveline, 2012.
"On the Asset Market View of Exchange Rates,"
NBER Working Papers
18646, National Bureau of Economic Research, Inc.
- A Craig Burnside & Jeremy J Graveline, 2020. "On the Asset Market View of Exchange Rates," The Review of Financial Studies, Society for Financial Studies, vol. 33(1), pages 239-260.
- Irina Zviadadze, 2017.
"Term Structure of Consumption Risk Premia in the Cross Section of Currency Returns,"
Journal of Finance, American Finance Association, vol. 72(4), pages 1529-1566, August.
- Irina Zviadadze, 2014. "Term-structure of consumption risk premia in the cross-section of currency returns," 2014 Meeting Papers 1075, Society for Economic Dynamics.
- Yemba, Boniface & Kitenge, Erick & Tang, Biyan & Gaekwad, Neepa B., 2024. "Monetary policy in China: A Factor Augmented VAR approach," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 975-1008.
- Yamani, Ehab, 2021. "Foreign exchange market efficiency and the global financial crisis: Fundamental versus technical information," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 74-89.
- Dąbrowski, Marek A. & Janus, Jakub, 2021. "Does the interest parity puzzle hold for Central and Eastern European economies?," MPRA Paper 107558, University Library of Munich, Germany.
- Yuhyeon Bak & Cheolbeom Park, 2020.
"Exchange Rate Predictability, Risk Premiums, and Predictive System,"
Discussion Paper Series
2006, Institute of Economic Research, Korea University.
- Bak, Yuhyeon & Park, Cheolbeom, 2022. "Exchange rate predictability, risk premiums, and predictive system," Economic Modelling, Elsevier, vol. 116(C).
- Dramane Coulibaly & Hubert Kempf, 2017.
"Inflation Targeting and the Forward Bias Puzzle in Emerging Countries,"
EconomiX Working Papers
2017-12, University of Paris Nanterre, EconomiX.
- Coulibaly, Dramane & Kempf, Hubert, 2019. "Inflation targeting and the forward bias puzzle in emerging countries," Journal of International Money and Finance, Elsevier, vol. 90(C), pages 19-33.
- Dramane Coulibaly & Hubert Kempf, 2019. "Inflation targeting and the forward bias puzzle in emerging countries," Post-Print hal-01877454, HAL.
- Moore, Michael J. & Roche, Maurice J., 2012. "When does uncovered interest parity hold?," Journal of International Money and Finance, Elsevier, vol. 31(4), pages 865-879.
- Kim, Daehwan & Moneta, Fabio, 2021. "Long-term foreign exchange risk premia and inflation risk," International Review of Financial Analysis, Elsevier, vol. 78(C).
- Croce, Mariano & Gavazzoni, Federico & Colacito, Ric & Ready, Robert, 2018.
"Currency Risk Factors in a Recursive Multicountry Economy,"
CEPR Discussion Papers
12610, C.E.P.R. Discussion Papers.
- Robert Ready & Mariano Croce & Federico Gavazzoni & Riccardo Colacito, 2016. "Currency Risk Factors in a Recursive Multi-Country Economy," 2016 Meeting Papers 297, Society for Economic Dynamics.
- Chu, Shiou-Yen, 2015. "Funding liquidity constraints and the forward premium anomaly in a DSGE model," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 76-89.
- Wellmann, Dennis & Trück, Stefan, 2018. "Factors of the term structure of sovereign yield spreads," Journal of International Money and Finance, Elsevier, vol. 81(C), pages 56-75.
- Daniel, Kent & Hodrick, Robert J. & Lu, Zhongjin, 2017.
"The Carry Trade: Risks and Drawdowns,"
Critical Finance Review, now publishers, vol. 6(2), pages 211-262, September.
- Kent Daniel & Robert J. Hodrick & Zhongjin Lu, 2014. "The Carry Trade: Risks and Drawdowns," NBER Working Papers 20433, National Bureau of Economic Research, Inc.
- Gianluca Benigno & Pierpaolo Benigno & Salvatore Nisticò, 2011.
"Risk, Monetary Policy and the Exchange Rate,"
NBER Chapters, in: NBER Macroeconomics Annual 2011, Volume 26, pages 247-309,
National Bureau of Economic Research, Inc.
- Gianluca Benigno & Pierpaolo Benigno & Salvatore Nisticò, 2011. "Risk, Monetary Policy and the Exchange Rate," NBER Working Papers 17133, National Bureau of Economic Research, Inc.
- Gianluca Benigno & Pierpaolo Benigno & Salvatore Nisticò, 2012. "Risk, Monetary Policy, and the Exchange Rate," NBER Macroeconomics Annual, University of Chicago Press, vol. 26(1), pages 247-309.
- Hiroshi Ugai, 2015. "Transmission Channels and Welfare Implications of Unconventional Monetary Easing Policy in Japan," UTokyo Price Project Working Paper Series 060, University of Tokyo, Graduate School of Economics, revised Dec 2015.
- Hanno Lustig & Nikolai Roussanov & Adrien Verdelhan, 2010.
"Countercyclical Currency Risk Premia,"
NBER Working Papers
16427, National Bureau of Economic Research, Inc.
- Lustig, Hanno & Roussanov, Nikolai & Verdelhan, Adrien, 2014. "Countercyclical currency risk premia," Journal of Financial Economics, Elsevier, vol. 111(3), pages 527-553.
- Öge Güney Pelin, 2018. "Uncovered Interest Rate Parity: The Turkish Evidence," Review of Middle East Economics and Finance, De Gruyter, vol. 14(2), pages 1-11, August.
- Hiroshi Ugai, "undated". "Transmission Channels and Welfare Implications of Unconventional Monetary Easing Policy in Japan," Working Papers e102, Tokyo Center for Economic Research.
- Lucas F. Husted & John H. Rogers & Bo Sun, 2017.
"Uncertainty, Curreny Exess Returns, and Risk Reversals,"
International Finance Discussion Papers
1196, Board of Governors of the Federal Reserve System (U.S.).
- Husted, Lucas & Rogers, John & Sun, Bo, 2018. "Uncertainty, currency excess returns, and risk reversals," Journal of International Money and Finance, Elsevier, vol. 88(C), pages 228-241.
- Nevin Cavusoglu & Michael D. Goldberg & Joshua Stillwagon, 2019. "New Evidence on the Portfolio Balance Approach to Currency Returns," Working Papers Series 89, Institute for New Economic Thinking.
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- John H. Rogers & Chiara Scotti & Jonathan H. Wright, 2016.
"Unconventional Monetary Policy and International Risk Premia,"
International Finance Discussion Papers
1172, Board of Governors of the Federal Reserve System (U.S.).
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NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 4 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-CSE: Economics of Strategic Management (2) 2015-08-19 2015-12-08
- NEP-DGE: Dynamic General Equilibrium (2) 2015-08-19 2016-07-30
- NEP-INO: Innovation (2) 2015-08-19 2015-12-08
- NEP-MST: Market Microstructure (1) 2013-04-20
- NEP-OPM: Open Economy Macroeconomics (1) 2013-04-20
- NEP-TID: Technology and Industrial Dynamics (1) 2015-12-08
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