The quanto theory of exchange rates
Author
Abstract
Suggested Citation
Download full text from publisher
Other versions of this item:
- Lukas Kremens & Ian Martin, 2019. "The Quanto Theory of Exchange Rates," American Economic Review, American Economic Association, vol. 109(3), pages 810-843, March.
- Martin, Ian & Kremens, Lukas, 2017. "The Quanto Theory of Exchange Rates," CEPR Discussion Papers 11970, C.E.P.R. Discussion Papers.
- Kremens, Lukas & Martin, Ian, 2017. "The quanto theory of exchange rates," LSE Research Online Documents on Economics 118945, London School of Economics and Political Science, LSE Library.
- Kremens, Lukas & Martin, Ian, 2019. "The quanto theory of exchange rates," LSE Research Online Documents on Economics 89839, London School of Economics and Political Science, LSE Library.
References listed on IDEAS
- Sarno, Lucio & Schneider, Paul & Wagner, Christian, 2012.
"Properties of foreign exchange risk premiums,"
Journal of Financial Economics, Elsevier, vol. 105(2), pages 279-310.
- Sarno, Lucio & Schneider, Paul & Wagner, Christian, 2011. "Properties of Foreign Exchange Risk Premiums," CEPR Discussion Papers 8503, C.E.P.R. Discussion Papers.
- Lucio Sarno & Paul Schneider & Christian Wagner, 2012. "Properties of Foreign Exchange Risk Premiums," Working Paper series 10_12, Rimini Centre for Economic Analysis.
- Ivo Welch & Amit Goyal, 2008.
"A Comprehensive Look at The Empirical Performance of Equity Premium Prediction,"
The Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1455-1508, July.
- Amit Goyal & Ivo Welch, 2004. "A Comprehensive Look at the Empirical Performance of Equity Premium Prediction," Yale School of Management Working Papers amz2412, Yale School of Management, revised 01 Jan 2006.
- Amit Goyal & Ivo Welch & Athanasse Zafirov, 2021. "A Comprehensive Look at the Empirical Performance of Equity Premium Prediction II," Swiss Finance Institute Research Paper Series 21-85, Swiss Finance Institute.
- Amit Goval & Ivo Welch, 2004. "A Comprehensive Look at the Empirical Performance of Equity Premium Prediction," NBER Working Papers 10483, National Bureau of Economic Research, Inc.
- Karen K. Lewis, 1999. "Trying to Explain Home Bias in Equities and Consumption," Journal of Economic Literature, American Economic Association, vol. 37(2), pages 571-608, June.
- Jeremy J. Siegel, 1972. "Risk, Interest Rates and the Forward Exchange," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 86(2), pages 303-309.
- Hansen, Lars Peter & Hodrick, Robert J, 1980. "Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis," Journal of Political Economy, University of Chicago Press, vol. 88(5), pages 829-853, October.
- Ian W. R. Martin & Christian Wagner, 2019.
"What Is the Expected Return on a Stock?,"
Journal of Finance, American Finance Association, vol. 74(4), pages 1887-1929, August.
- Martin, Ian & Wagner, Christian, 2016. "What is the Expected Return on a Stock?," CEPR Discussion Papers 11608, C.E.P.R. Discussion Papers.
- Martin, Ian & Wagner, Christian, 2016. "What is the expected return on a stock?," LSE Research Online Documents on Economics 118957, London School of Economics and Political Science, LSE Library.
- Christian Wagner & Ian Martin, 2017. "What Is the Expected Return on a Stock?," 2017 Meeting Papers 146, Society for Economic Dynamics.
- Martin, Ian & Wagner, Christian, 2019. "What is the expected return on a stock?," LSE Research Online Documents on Economics 90158, London School of Economics and Political Science, LSE Library.
- Barbara Rossi, 2013.
"Exchange Rate Predictability,"
Journal of Economic Literature, American Economic Association, vol. 51(4), pages 1063-1119, December.
- Rossi, Barbara, 2013. "Exchange Rate Predictability," CEPR Discussion Papers 9575, C.E.P.R. Discussion Papers.
- Barbara Rossi, 2013. "Exchange Rate Predictability," Working Papers 690, Barcelona School of Economics.
- Barbara Rossi, 2013. "Exchange rate predictability," Economics Working Papers 1369, Department of Economics and Business, Universitat Pompeu Fabra.
- Craig Burnside & Martin Eichenbaum & Isaac Kleshchelski & Sergio Rebelo, 2011.
"Do Peso Problems Explain the Returns to the Carry Trade?,"
The Review of Financial Studies, Society for Financial Studies, vol. 24(3), pages 853-891.
- Eichenbaum, Martin & Rebelo, Sérgio & Burnside, Craig & Kleshchelski, Isaac, 2008. "Do Peso Problems Explain the Returns to the Carry Trade?," CEPR Discussion Papers 6873, C.E.P.R. Discussion Papers.
- A. Craig Burnside & Martin Eichenbaum & Isaac Kleshchelski & Sergio T. Rebelo, 2010. "Do Peso Problems Explain the Returns to the Carry Trade?," Working Papers 10-44, Duke University, Department of Economics.
- A. Craig Burnside & Martin S. Eichenbaum & Isaac Kleshchelski & Sergio Rebelo, 2008. "Do Peso Problems Explain the Returns to the Carry Trade?," NBER Working Papers 14054, National Bureau of Economic Research, Inc.
- Tarek A Hassan & Rui C Mano, 2019.
"Forward and Spot Exchange Rates in a Multi-Currency World,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 134(1), pages 397-450.
- Hassan, Tarek & Mano, Rui, 2014. "Forward and Spot Exchange Rates in a Multi-currency World," CEPR Discussion Papers 10060, C.E.P.R. Discussion Papers.
- Tarek A. Hassan & Rui C. Mano, 2014. "Forward and Spot Exchange Rates in a Multi-currency World," NBER Working Papers 20294, National Bureau of Economic Research, Inc.
- Hanno Lustig & Adrien Verdelhan, 2007.
"The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk,"
American Economic Review, American Economic Association, vol. 97(1), pages 89-117, March.
- Hanno Lustig & Adrien Verdelhan, 2004. "The Cross-Section of Foreign Currency Risk Premia and US Consumption Growth Risk," 2004 Meeting Papers 136c, Society for Economic Dynamics.
- Hanno Lustig & Adrien Verdelhan, 2006. "The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk," Boston University - Department of Economics - Working Papers Series WP2006-045, Boston University - Department of Economics.
- Lustig, H. & Verdelhan, A., 2006. "The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk," Working papers 155, Banque de France.
- Adrien Verdelhan & Hanno Lustig, 2005. "The Cross-Section Of Foreign Currency Risk Premia And Consumption Growth Risk," Boston University - Department of Economics - Working Papers Series WP2005-019, Boston University - Department of Economics.
- Pierre-Olivier Gourinchas & Hélène Rey, 2007.
"International Financial Adjustment,"
Journal of Political Economy, University of Chicago Press, vol. 115(4), pages 665-703, August.
- Pierre-Olivier Gourinchas & Helene Rey, 2005. "International financial adjustment," Proceedings, Federal Reserve Bank of San Francisco.
- Rey, Hélène & Gourinchas, Pierre-Olivier, 2005. "International Financial Adjustment," CEPR Discussion Papers 4923, C.E.P.R. Discussion Papers.
- Pierre-Olivier Gourinchas & Helene Rey, 2005. "International Financial Adjustment," NBER Working Papers 11155, National Bureau of Economic Research, Inc.
- Pierre-Olivier Gourinchas & Hélène Rey, 2005. "International Financial Adjustment," International Finance 0505004, University Library of Munich, Germany.
- Gourinchas, Pierre-Olivier & Rey, Hélène, 2005. "International Financial Adjustment," Center for International and Development Economics Research, Working Paper Series qt124628cx, Center for International and Development Economics Research, Institute for Business and Economic Research, UC Berkeley.
- Helene Rey & Pierre Olivier Gourinchas, 2005. "International Financial Adjustment," 2005 Meeting Papers 169, Society for Economic Dynamics.
- Gourinchas, Pierre-Olivier & Rey, Hélène, 2005. "International Financial Adjustment," Department of Economics, Working Paper Series qt124628cx, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
- Lukas Menkhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2012.
"Carry Trades and Global Foreign Exchange Volatility,"
Journal of Finance, American Finance Association, vol. 67(2), pages 681-718, April.
- Menkhoff, Lukas & Sarno, Lucio & Schrimpf, Paul & Schmeling, Maik, 2011. "Carry Trades and Global Foreign Exchange Volatility," CEPR Discussion Papers 8291, C.E.P.R. Discussion Papers.
- Diebold, Francis X & Mariano, Roberto S, 2002.
"Comparing Predictive Accuracy,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-144, January.
- Diebold, Francis X & Mariano, Roberto S, 1995. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 253-263, July.
- Francis X. Diebold & Roberto S. Mariano, 1994. "Comparing Predictive Accuracy," NBER Technical Working Papers 0169, National Bureau of Economic Research, Inc.
- Jordà, Òscar & Taylor, Alan M., 2012.
"The carry trade and fundamentals: Nothing to fear but FEER itself,"
Journal of International Economics, Elsevier, vol. 88(1), pages 74-90.
- Taylor, Alan M. & Jordà , Òscar, 2009. "The Carry Trade and Fundamentals: Nothing to Fear But FEER Itself," CEPR Discussion Papers 7568, C.E.P.R. Discussion Papers.
- Òscar Jordà & Alan M. Taylor, 2009. "The Carry Trade and Fundamentals: Nothing to Fear But FEER Itself," NBER Working Papers 15518, National Bureau of Economic Research, Inc.
- Hanno Lustig & Nikolai Roussanov & Adrien Verdelhan, 2011.
"Common Risk Factors in Currency Markets,"
The Review of Financial Studies, Society for Financial Studies, vol. 24(11), pages 3731-3777.
- Hanno Lustig & Nikolai Roussanov & Adrien Verdelhan, 2008. "Common Risk Factors in Currency Markets," NBER Working Papers 14082, National Bureau of Economic Research, Inc.
- Nick Roussanov & Adrien Verdelhan & Hanno Lustig, 2008. "Common Risk Factors in Currency Markets," 2008 Meeting Papers 711, Society for Economic Dynamics.
- Andrew Patton & Dimitris Politis & Halbert White, 2009. "Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White," Econometric Reviews, Taylor & Francis Journals, vol. 28(4), pages 372-375.
- Emmanuel Farhi & Xavier Gabaix, 2016. "Editor's Choice Rare Disasters and Exchange Rates," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 131(1), pages 1-52.
- Adrien Verdelhan, 2010.
"A Habit‐Based Explanation of the Exchange Rate Risk Premium,"
Journal of Finance, American Finance Association, vol. 65(1), pages 123-146, February.
- Adrien Verdelhan, 2005. "A Habit-Based Explanation of the Exchange Rate Risk Premium," Boston University - Department of Economics - Working Papers Series WP2005-032, Boston University - Department of Economics.
- Adrien Verdelhan, 2006. "A Habit-Based Explanation of the Exchange Rate Risk Premium," Computing in Economics and Finance 2006 217, Society for Computational Economics.
- Adrien Verdelhan, 2006. "A Habit-Based Explanation of the Exchange Rate Risk Premium," Boston University - Department of Economics - Working Papers Series WP2006-047, Boston University - Department of Economics.
- Adrien Verdelhan, 2006. "A Habit-Based Explanation of the Exchange Rate Risk Premium," 2006 Meeting Papers 872, Society for Economic Dynamics.
- Stefan Avdjiev & Wenxin Du & Cathérine Koch & Hyun Song Shin, 2019.
"The Dollar, Bank Leverage, and Deviations from Covered Interest Parity,"
American Economic Review: Insights, American Economic Association, vol. 1(2), pages 193-208, September.
- Stefan Avdjiev & Wenxin Du & Catherine Koch & Hyun Song Shin, 2016. "The dollar, bank leverage and the deviation from covered interest parity," BIS Working Papers 592, Bank for International Settlements.
- 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.
- Jeremy Graveline & Irina Zviadadze & Mikhail Chernov, 2012. "Crash Risk in Currency Returns," 2012 Meeting Papers 753, Society for Economic Dynamics.
- Craig Burnside, 2011.
"The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk: Comment,"
American Economic Review, American Economic Association, vol. 101(7), pages 3456-3476, December.
- A. Craig Burnside, 2010. "The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: A Comment," Working Papers 10-43, Duke University, Department of Economics.
- Jurek, Jakub W., 2014. "Crash-neutral currency carry trades," Journal of Financial Economics, Elsevier, vol. 113(3), pages 325-347.
- Ian Martin, 2011. "The Forward Premium Puzzle in a Two-Country World," NBER Working Papers 17564, National Bureau of Economic Research, Inc.
- Lettau, Martin & Maggiori, Matteo & Weber, Michael, 2014.
"Conditional risk premia in currency markets and other asset classes,"
Journal of Financial Economics, Elsevier, vol. 114(2), pages 197-225.
- Lettau, Martin & Maggiori, Matteo & Weber, Michael, 2013. "Conditional Risk Premia in Currency Markets and Other Asset Classes," CEPR Discussion Papers 9484, C.E.P.R. Discussion Papers.
- Martin Lettau & Matteo Maggiori & Michael Weber, 2013. "Conditional Risk Premia in Currency Markets and Other Asset Classes," NBER Working Papers 18844, National Bureau of Economic Research, Inc.
- Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, vol. 14(1-2), pages 3-24, February.
- Silvia Miranda-Agrippino & Hélène Rey, 2020.
"U.S. Monetary Policy and the Global Financial Cycle,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 87(6), pages 2754-2776.
- Silvia Miranda-Agrippino & Hélène Rey, 2015. "US Monetary Policy and the Global Financial Cycle," NBER Working Papers 21722, National Bureau of Economic Research, Inc.
- Barroso, Pedro & Santa-Clara, Pedro, 2015. "Beyond the Carry Trade: Optimal Currency Portfolios," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 50(5), pages 1037-1056, October.
- Tarek A. Hassan, 2013.
"Country Size, Currency Unions, and International Asset Returns,"
Journal of Finance, American Finance Association, vol. 68(6), pages 2269-2308, December.
- Tarek A. Hassan, 2009. "Country Size, Currency Unions, and International Asset Returns," Working Papers 154, Oesterreichische Nationalbank (Austrian Central Bank).
- Hassan, Tarek, 2012. "Country Size, Currency Unions, and International Asset Returns," CEPR Discussion Papers 8991, C.E.P.R. Discussion Papers.
- Tarek Alexander Hassan, 2012. "Country Size, Currency Unions, and International Asset Returns," NBER Working Papers 18057, National Bureau of Economic Research, Inc.
- David K. Backus & Silverio Foresi & Chris I. Telmer, 2001. "Affine Term Structure Models and the Forward Premium Anomaly," Journal of Finance, American Finance Association, vol. 56(1), pages 279-304, February.
- Martin, Ian, 2018.
"Options and the Gamma Knife,"
CEPR Discussion Papers
12883, C.E.P.R. Discussion Papers.
- Martin, Ian, 2018. "Options and the Gamma Knife," LSE Research Online Documents on Economics 88077, London School of Economics and Political Science, LSE Library.
- Ian Martin, 2017.
"What is the Expected Return on the Market?,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 132(1), pages 367-433.
- Martin, Ian, 2015. "What is the Expected Return on the Market?," CEPR Discussion Papers 10715, C.E.P.R. Discussion Papers.
- Martin, Ian, 2017. "What is the expected return on the market?," LSE Research Online Documents on Economics 67036, London School of Economics and Political Science, LSE Library.
- Martin, Ian, 2016. "What is the expected return on the market?," LSE Research Online Documents on Economics 119013, London School of Economics and Political Science, LSE Library.
- Ian W. Martin, 2013.
"Consumption-Based Asset Pricing with Higher Cumulants,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 80(2), pages 745-773.
- Ian Martin, 2010. "Consumption-Based Asset Pricing with Higher Cumulants," NBER Working Papers 16153, National Bureau of Economic Research, Inc.
- Patrick Augustin & Mikhail Chernov & Dongho Song, 2018.
"Sovereign Credit Risk and Exchange Rates: Evidence from CDS Quanto Spreads,"
NBER Working Papers
24506, National Bureau of Economic Research, Inc.
- Chernov, Mikhail & Augustin, Patrick & Song, Dongho, 2018. "Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads," CEPR Discussion Papers 12857, C.E.P.R. Discussion Papers.
- repec:oup:qjecon:v:132:y:2016:i:1:p:367-433. is not listed on IDEAS
- Harvey, David & Leybourne, Stephen & Newbold, Paul, 1997. "Testing the equality of prediction mean squared errors," International Journal of Forecasting, Elsevier, vol. 13(2), pages 281-291, June.
- Fama, Eugene F., 1984. "Forward and spot exchange rates," Journal of Monetary Economics, Elsevier, vol. 14(3), pages 319-338, November.
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.- 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.
- 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.
"Measures of global uncertainty and carry-trade excess returns,"
Journal of International Money and Finance, Elsevier, vol. 88(C), pages 212-227.
- Kimberly A. Berg & Nelson Mark, 2017. "Measures of Global Uncertainty and Carry-Trade Excess Returns," GRU Working Paper Series GRU_2017_002, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
- Stijn Claessens & M Ayhan Kose, 2017.
"Asset prices and macroeconomic outcomes: a survey,"
BIS Working Papers
676, Bank for International Settlements.
- Stijn Claessens & M. Ayhan Kose, 2017. "Asset prices and macroeconomic outcomes: A survey," CAMA Working Papers 2017-76, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Stijn Claessens & M. Ayhan Kose, 2017. "Asset Prices and Macroeconomic Outcomes: A Survey," Koç University-TUSIAD Economic Research Forum Working Papers 1718, Koc University-TUSIAD Economic Research Forum.
- Claessens,Stijn & Kose,Ayhan, 2017. "Asset prices and macroeconomic outcomes : a survey," Policy Research Working Paper Series 8259, The World Bank.
- Kose, M. Ayhan & Claessens, Stijn, 2017. "Asset Prices and Macroeconomic Outcomes: A Survey," CEPR Discussion Papers 12460, C.E.P.R. Discussion Papers.
- Opie, Wei & Riddiough, Steven J., 2020. "Global currency hedging with common risk factors," Journal of Financial Economics, Elsevier, vol. 136(3), pages 780-805.
- Stijn Claessens & M Ayhan Kose, 2018. "Frontiers of macrofinancial linkages," BIS Papers, Bank for International Settlements, number 95.
- 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.
- Liu, Yang & Shaliastovich, Ivan, 2022. "Government policy approval and exchange rates," Journal of Financial Economics, Elsevier, vol. 143(1), pages 303-331.
- 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.
- Charles Engel, 2013. "Exchange Rates and Interest Parity," NBER Working Papers 19336, National Bureau of Economic Research, Inc.
- 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.
- Choi, Jin Ho & Suh, Sangwon, 2022. "Conditionally-hedged currency carry trades," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
- Tarek A Hassan & Rui C Mano, 2019.
"Forward and Spot Exchange Rates in a Multi-Currency World,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 134(1), pages 397-450.
- Hassan, Tarek & Mano, Rui, 2014. "Forward and Spot Exchange Rates in a Multi-currency World," CEPR Discussion Papers 10060, C.E.P.R. Discussion Papers.
- Tarek A. Hassan & Rui C. Mano, 2014. "Forward and Spot Exchange Rates in a Multi-currency World," NBER Working Papers 20294, National Bureau of Economic Research, Inc.
- Mueller, Philippe & Stathopoulos, Andreas & Vedolin, Andrea, 2017.
"International correlation risk,"
Journal of Financial Economics, Elsevier, vol. 126(2), pages 270-299.
- Philippe Mueller & Andreas Stathopoulos & Andrea Vedolin, "undated". "International Correlation Risk," FMG Discussion Papers dp716, Financial Markets Group.
- 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.
- 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.
- 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.
- Dahlquist, Magnus & Hasseltoft, Henrik, 2020. "Economic momentum and currency returns," Journal of Financial Economics, Elsevier, vol. 136(1), pages 152-167.
- Lustig, Hanno & Roussanov, Nikolai & Verdelhan, Adrien, 2014.
"Countercyclical currency risk premia,"
Journal of Financial Economics, Elsevier, vol. 111(3), pages 527-553.
- Hanno Lustig & Nikolai Roussanov & Adrien Verdelhan, 2010. "Countercyclical Currency Risk Premia," NBER Working Papers 16427, National Bureau of Economic Research, Inc.
- Yung, Julieta, 2021.
"Can interest rate factors explain exchange rate fluctuations?,"
Journal of Empirical Finance, Elsevier, vol. 61(C), pages 34-56.
- Julieta Yung, 2014. "Can interest rate factors explain exchange rate fluctuations?," Globalization Institute Working Papers 207, Federal Reserve Bank of Dallas.
- Pasquale Della Corte & Lucio Sarno & Maik Schmeling & Christian Wagner, 2022.
"Exchange Rates and Sovereign Risk,"
Management Science, INFORMS, vol. 68(8), pages 5591-5617, August.
- Sarno, Lucio & Della Corte, Pasquale & Schmeling, Maik & Wagner, Christian, 2021. "Exchange Rates and Sovereign Risk," CEPR Discussion Papers 16058, C.E.P.R. Discussion Papers.
- Choi, Jin Ho & Suh, Sangwon, 2021. "A filtered currency carry trade," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
- Koijen, Ralph S.J. & Moskowitz, Tobias J. & Pedersen, Lasse Heje & Vrugt, Evert B., 2018.
"Carry,"
Journal of Financial Economics, Elsevier, vol. 127(2), pages 197-225.
- Moskowitz, Tobias J & Pedersen, Lasse Heje & Koijen, Ralph & Vrugt, Evert B., 2013. "Carry," CEPR Discussion Papers 9771, C.E.P.R. Discussion Papers.
- Ralph S.J. Koijen & Tobias J. Moskowitz & Lasse Heje Pedersen & Evert B. Vrugt, 2013. "Carry," NBER Working Papers 19325, National Bureau of Economic Research, Inc.
- 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.
- 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.
More about this item
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- F31 - International Economics - - International Finance - - - Foreign Exchange
- F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
- F47 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Forecasting and Simulation: Models and Applications
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:ehl:lserod:118961. 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: LSERO Manager (email available below). General contact details of provider: https://edirc.repec.org/data/lsepsuk.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.