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Adrien Verdelhan

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.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Wenxin Du & Alexander Tepper & Adrien Verdelhan, 2018. "Deviations from Covered Interest Rate Parity," Journal of Finance, American Finance Association, vol. 73(3), pages 915-957, June.

    Mentioned in:

    1. Central Bank to the World: Supplying Dollars in the COVID Crisis
      by Steve Cecchetti and Kim Schoenholtz in Money, Banking and Financial Markets on 2020-05-03 17:16:37
  2. 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.

    Mentioned in:

    1. Attention to the tail(s): global financial conditions and exchange rate risks
      by BankUnderground in Bank Underground on 2019-12-17 09:00:00

Wikipedia or ReplicationWiki mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. 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.

    Mentioned in:

    1. The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk (AER 2007) in ReplicationWiki ()

Working papers

  1. Andreas Stathopoulos & Adrien Verdelhan & Hanno Lustig, 2017. "Nominal Exchange Rate Stationarity and Long-Term Bond Returns," 2017 Meeting Papers 1633, Society for Economic Dynamics.

    Cited by:

    1. Shimizu, Makoto, 2017. "Effect of net foreign assets on persistency of time-varying risk premium: Evidence from the Dollar-Yen exchange rate," International Review of Economics & Finance, Elsevier, vol. 49(C), pages 255-265.
    2. Luis M. Viceira & Zixuan (Kevin) Wang, 2018. "Global Portfolio Diversification for Long-Horizon Investors," NBER Working Papers 24646, National Bureau of Economic Research, Inc.
    3. Engel, Charles & Wu, Steve Pak Yeung, 2021. "Forecasting the U.S. Dollar in the 21st Century," CEPR Discussion Papers 15915, C.E.P.R. Discussion Papers.
    4. 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.
    5. Gao, Feng & Li, Yubin & Wang, Xinjie & Zhong, Zhaodong (Ken), 2021. "Corporate social responsibility and the term structure of CDS spreads," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
    6. Oleg Itskhoki & Dmitry Mukhin, 2017. "Exchange Rate Disconnect in General Equilibrium," NBER Working Papers 23401, National Bureau of Economic Research, Inc.

  2. Wenxin Du & Alexander Tepper & Adrien Verdelhan, 2017. "Deviations from Covered Interest Rate Parity," NBER Working Papers 23170, National Bureau of Economic Research, Inc.

    Cited by:

    1. Park, Sunjin, 2022. "Heterogeneous beliefs in macroeconomic growth prospects and the carry risk premium," Journal of Banking & Finance, Elsevier, vol. 136(C).
    2. Mr. Eugenio M Cerutti & Mr. Maurice Obstfeld & Haonan Zhou, 2019. "Covered Interest Parity Deviations: Macrofinancial Determinants," IMF Working Papers 2019/014, International Monetary Fund.
    3. Valentin Haddad & Tyler Muir, 2021. "Do Intermediaries Matter for Aggregate Asset Prices?," Journal of Finance, American Finance Association, vol. 76(6), pages 2719-2761, December.
    4. Jason Allen & Ali Hortaçsu & Eric Richert & Milena Wittwer, 2024. "Entry and Exit in Treasury Auctions," Staff Working Papers 24-29, Bank of Canada.
    5. Constantin Bürgi & Mengdi Song, 2024. "Do Professional Forecasters Follow Uncovered Interest Rate Parity?," CESifo Working Paper Series 11338, CESifo.
    6. Ramirez-Rondan, N.R. & Terrones, Marco E., 2019. "Uncertainty and the Uncovered Interest Parity Condition: How Are They Related?," MPRA Paper 97524, University Library of Munich, Germany.
    7. Peter Van Tassel, 2020. "The Law of One Price in Equity Volatility Markets," Staff Reports 953, Federal Reserve Bank of New York.
    8. Jingzhi Chen & Charlie X. Cai & Robert Faff & Yongcheol Shin, 2022. "Nonlinear limits to arbitrage," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(6), pages 1084-1113, June.
    9. van Binsbergen, Jules H. & Diamond, William F. & Grotteria, Marco, 2022. "Risk-free interest rates," Journal of Financial Economics, Elsevier, vol. 143(1), pages 1-29.
    10. Iwanaga, Yasuhiro & Sakemoto, Ryuta, 2025. "Conditional currency momentum portfolios," International Review of Financial Analysis, Elsevier, vol. 99(C).
    11. Maggiori, Matteo & Lilley, Andrew & Neiman, Brent & Schreger, Jesse, 2020. "Exchange Rate Reconnect," CEPR Discussion Papers 13869, C.E.P.R. Discussion Papers.
    12. Nadav Ben Zeev & Noam Ben-Ze’ev & Daniel Nathan, 2025. "Capital Inflow Shocks and Convenience Yields," Working Papers 2503, Ben-Gurion University of the Negev, Department of Economics.
    13. Dedola, Luca & Georgiadis, Georgios & Gräb, Johannes & Mehl, Arnaud, 2018. "Does a big bazooka matter? Central bank balance-sheet policies and exchange rates," Working Paper Series 2197, European Central Bank.
    14. Friederike Niepmann & Tim Schmidt-Eisenlohr, 2019. "Institutional Investors, the Dollar, and U.S. Credit Conditions," International Finance Discussion Papers 1246, Board of Governors of the Federal Reserve System (U.S.).
    15. Sven Klingler & Olav Syrstad, 2021. "Disclosing the Undisclosed: Commercial Paper As Hidden Liquidity Suffers," Working Paper 2021/16, Norges Bank.
    16. Stijn Claessens & M Ayhan Kose, 2018. "Frontiers of macrofinancial linkages," BIS Papers, Bank for International Settlements, number 95.
    17. Gerardo Ferrara & Philippe Mueller & Ganesh Viswanath-Natraj & Junxuan Wang, 2022. "Central bank swap lines: micro-level evidence," Bank of England working papers 977, Bank of England.
    18. Hernández, Juan R., 2025. "Covered interest parity: A forecasting approach to estimate the neutral band," Economic Modelling, Elsevier, vol. 148(C).
    19. Hattori, Takahiro, 2021. "Noise as a liquidity measure: Evidence from the JGB market," Pacific-Basin Finance Journal, Elsevier, vol. 67(C).
    20. Saleem Bahaj & Ricardo Reis, 2018. "Central Bank Swap Lines," Bank of England working papers 741, Bank of England.
    21. Javier Bianchi & Saki Bigio & Charles Engel, 2022. "Scrambling for Dollars: International Liquidity, Banks and Exchange Rates," Working Papers 182, Peruvian Economic Association.
    22. Dagfinn Rime & Andreas Schrimpf & Olav Syrstad, 2022. "Covered Interest Parity Arbitrage," The Review of Financial Studies, Society for Financial Studies, vol. 35(11), pages 5185-5227.
    23. Gordon Y. Liao & Tony Zhang, 2020. "The Hedging Channel of Exchange Rate Determination," International Finance Discussion Papers 1283, Board of Governors of the Federal Reserve System (U.S.).
    24. Bassi, Claudio & Behn, Markus & Grill, Michael & Waibel, Martin, 2024. "Window dressing of regulatory metrics: Evidence from repo markets," Journal of Financial Intermediation, Elsevier, vol. 58(C).
    25. Tobias J. Moskowitz & Chase P. Ross & Sharon Y. Ross & Kaushik Vasudevan, 2024. "Quantities and Covered-Interest Parity," Finance and Economics Discussion Series 2024-061, Board of Governors of the Federal Reserve System (U.S.).
    26. David R. Haab & Thomas Nitschka, 2020. "Carry trade and forward premium puzzle from the perspective of a safe‐haven currency," Review of International Economics, Wiley Blackwell, vol. 28(2), pages 376-394, May.
    27. van Horen, Neeltje & Kotidis, Antonios, 2018. "Repo market functioning: The role of capital regulation," CEPR Discussion Papers 13090, C.E.P.R. Discussion Papers.
    28. Chen, Shiu-Sheng & Chou, Yu-Hsi, 2023. "Liquidity yield and exchange rate predictability," Journal of International Money and Finance, Elsevier, vol. 137(C).
    29. Mario Cerrato & Shengfeng Mei, 2025. "Quantitative Easing, Banks’ Funding Costs, and Credit Line Prices," Working Papers 2025_03, Business School - Economics, University of Glasgow.
    30. Alyssa G. Anderson & Wenxin Du & Bernd Schlusche, 2021. "Arbitrage Capital of Global Banks," Finance and Economics Discussion Series 2021-032, Board of Governors of the Federal Reserve System (U.S.).
    31. Nicole Aregger & Jessica Leutert, 2023. "Countering Appreciation Pressure with Unconventional Monetary Policy: The Role of Financial Frictions," International Journal of Central Banking, International Journal of Central Banking, vol. 19(4), pages 251-337, October.
    32. Varela, Liliana & Salomao, Juliana, 2018. "Exchange Rate Exposure and Firm Dynamics," CEPR Discussion Papers 12654, C.E.P.R. Discussion Papers.
    33. Valentin Haddad & Alan Moreira & Tyler Muir, 2021. "When Selling Becomes Viral: Disruptions in Debt Markets in the COVID-19 Crisis and the Fed’s Response [Funding value adjustments]," The Review of Financial Studies, Society for Financial Studies, vol. 34(11), pages 5309-5351.
    34. Yuewen Tang & Alfred Wong, 2022. "What Drives Dollar Funding Stress in Distress?," International Journal of Central Banking, International Journal of Central Banking, vol. 18(4), pages 1-52, October.
    35. Hertrich, Markus & Nathan, Daniel, 2022. "Foreign exchange interventions and their impact on expectations: Evidence from the USD/ILS options market," Discussion Papers 20/2022, Deutsche Bundesbank.
    36. Harald Hau & Peter Hoffmann & Sam Langfield & Mr. Yannick Timmer, 2019. "Discriminatory Pricing of Over-the-Counter Derivatives," IMF Working Papers 2019/100, International Monetary Fund.
    37. Hambuckers, J. & Ulm, M., 2023. "On the role of interest rate differentials in the dynamic asymmetry of exchange rates," Economic Modelling, Elsevier, vol. 129(C).
    38. Leif Andersen & Darrell Duffie & Yang Song, 2017. "Funding Value Adjustments," NBER Working Papers 23680, National Bureau of Economic Research, Inc.
    39. Aramonte, Sirio & Szerszeń, Paweł J., 2020. "Cross-market liquidity and dealer profitability: Evidence from the bond and CDS markets," Journal of Financial Markets, Elsevier, vol. 51(C).
    40. Yoonsik Hong & Diego Klabjan, 2025. "Graph Learning for Foreign Exchange Rate Prediction and Statistical Arbitrage," Papers 2508.14784, arXiv.org.
    41. Colacito, Riccardo & Riddiough, Steven J. & Sarno, Lucio, 2020. "Business cycles and currency returns," Journal of Financial Economics, Elsevier, vol. 137(3), pages 659-678.
    42. Liao, Gordon Y., 2020. "Credit migration and covered interest rate parity," Journal of Financial Economics, Elsevier, vol. 138(2), pages 504-525.
    43. Darrell Duffie & Michael Fleming & Frank Keane & Claire Nelson & Or Shachar & Peter Van Tassel, 2023. "Dealer capacity and US Treasury market functionality," BIS Working Papers 1138, Bank for International Settlements.
    44. Adrian, Tobias & Xie, Peichu, 2020. "The Non-U.S. Bank Demand for U.S. Dollar Assets," CEPR Discussion Papers 14437, C.E.P.R. Discussion Papers.
    45. Benedikt Ballensiefen & Angelo Ranaldo, 2019. "Safe Asset Carry Trade," Working Papers on Finance 1909, University of St. Gallen, School of Finance, revised Oct 2019.
    46. Ibhagui, Oyakhilome, 2021. "How do sovereign risk, equity and foreign exchange derivatives markets interact?," Economic Modelling, Elsevier, vol. 97(C), pages 58-78.
    47. Ibhagui, Oyakhilome, 2019. "Eurozone Real Output and Covered Interest Parity Deviations: Can Stronger Real Output Lessen the Deviations?," MPRA Paper 92305, University Library of Munich, Germany, revised 20 Feb 2019.
    48. Nissinen, Juuso & Sihvonen, Markus, 2024. "Bond convenience curves and funding costs," Journal of International Economics, Elsevier, vol. 151(C).
    49. Torsten Ehlers & Mathias Hoffmann & Alexander Raabe, 2020. "Non-US global banks and dollar (co-)dependence: how housing markets became internationally synchronized," ECON - Working Papers 374, Department of Economics - University of Zurich.
    50. Libo Yin & Jing Nie, 2021. "Intermediary asset pricing in currency carry trade returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(8), pages 1241-1267, August.
    51. Marco Del Negro & Domenico Giannone & Marc P. Giannoni & Andrea Tambalotti, 2017. "Safety, Liquidity, and the Natural Rate of Interest," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 48(1 (Spring), pages 235-316.
    52. Patrick Augustin & Mikhail Chernov & Lukas Schmid & Dongho Song, 2024. "The Term Structure of Covered Interest Rate Parity Violations," Journal of Finance, American Finance Association, vol. 79(3), pages 2077-2114, June.
    53. Bazán-Palomino, Walter & Ortiz, Marco & Terrones, Marco E. & Winkelried, Diego, 2025. "The role of US bank liquidity and regulations in Covered Interest Parity deviations," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 102(C).
    54. Dan Li & Lubomir Petrasek & Mary Tian, 2025. "Risk-averse Dealers in a Risk-free Market - The Role of Trading Desk Risk Limits," Finance and Economics Discussion Series 2025-034, Board of Governors of the Federal Reserve System (U.S.).
    55. Kliem, Martin & Kriwoluzky, Alexander & Müller, Gernot J. & Scheer, Alexander, 2024. "Financial repression in general equilibrium: The case of the United States, 1948-1974," Discussion Papers 20/2024, Deutsche Bundesbank.
    56. Paymon Khorrami & Alexander K. Zentefis, 2020. "Arbitrage and Beliefs," CESifo Working Paper Series 8490, CESifo.
    57. Puriya Abbassi & Falk Bräuning, 2020. "Real Effects of Foreign Exchange Risk Migration: Evidence from Matched Firm-Bank Microdata," Working Papers 20-8, Federal Reserve Bank of Boston.
    58. Aldasoro, Iñaki & Ehlers, Torsten & Eren, Egemen, 2022. "Global banks, dollar funding, and regulation," Journal of International Economics, Elsevier, vol. 137(C).
    59. Hernández Juan R., 2020. "Covered Interest Parity: A Stochastic Volatility Approach to Estimate the Neutral Band," Working Papers 2020-02, Banco de México.
    60. Jonas Becker & Maik Schmeling & Andreas Schrimpf, 2024. "Global Bank Lending and Exchange Rates," BIS Working Papers 1161, Bank for International Settlements.
    61. Granziera, Eleonora & Sihvonen, Markus, 2024. "Bonds, currencies and expectational errors," Journal of Economic Dynamics and Control, Elsevier, vol. 158(C).
    62. Mayu Kikuchi & Alfred Wong & Jiayue Zhang, 2019. "Risk of window dressing: quarter-end spikes in the Japanese yen Libor-OIS spread," Journal of Regulatory Economics, Springer, vol. 56(2), pages 149-166, December.
    63. Ibhagui, Oyakhilome, 2020. "Sovereign Risk, Cross-Currency Basis and Equity Markets: A Cross-Market Dynamic Interaction," MPRA Paper 100946, University Library of Munich, Germany.
    64. Dahlquist, Magnus & Pénasse, Julien, 2022. "The missing risk premium in exchange rates," Journal of Financial Economics, Elsevier, vol. 143(2), pages 697-715.
    65. Javier Ojea Ferreiro, 2025. "A Market-Based Approach to Reverse Stress Testing the Financial System," Staff Working Papers 25-32, Bank of Canada.
    66. Raddatz K., Claudio E., 2025. "Authorized participants’ regulatory constraints and limits to ETF arbitrage during market turmoil Evidence from the dash-for-cash episode," Journal of Banking & Finance, Elsevier, vol. 179(C).
    67. Catalina Morales & Rodrigo Vergara, 2017. "Desviaciones de la paridad cubierta de tasas de interés: experiencia internacional y el caso de Chile," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 20(3), pages 082-100, December.
    68. Deping Xiong & Nada Khaddage-Soboh & Muhammad Umar & Adnan Safi & Diego Norena-Chavez, 2024. "Redefining entrepreneurship in the digital age: exploring the impact of technology and collaboration on ventures," International Entrepreneurship and Management Journal, Springer, vol. 20(4), pages 3255-3281, December.
    69. Helena Chuliá & Sabuhi Khalili & Jorge M. Uribe, 2024. "Monitoring time-varying systemic risk in sovereign debt and currency markets with generative AI," IREA Working Papers 202402, University of Barcelona, Research Institute of Applied Economics, revised Feb 2024.
    70. Ryan Chahrour & Vito Cormun & Pierre De Leo & Pablo Guerron-Quintana & Rosen Valchev, 2021. "Exchange Rate Disconnect Revisited," Boston College Working Papers in Economics 1041, Boston College Department of Economics, revised 12 May 2023.
    71. Boyarchenko, Nina, 2022. "Comment on “central bank policy and the concentration of risk: Empirical estimates” by Nuno Coimbra, Daisoon Kim and Hélène Rey," Journal of Monetary Economics, Elsevier, vol. 125(C), pages 199-201.
    72. Zhiguo He & Arvind Krishnamurthy, 2018. "Intermediary Asset Pricing and the Financial Crisis," NBER Working Papers 24415, National Bureau of Economic Research, Inc.
    73. Moran, Kevin & Nono, Simplice Aimé, 2018. "Gradual learning about shocks and the forward premium puzzle," Journal of International Money and Finance, Elsevier, vol. 88(C), pages 79-100.
    74. Djeutem, Edouard & Dunbar, Geoffrey R., 2022. "Uncovered return parity: Equity returns and currency returns," Journal of International Money and Finance, Elsevier, vol. 128(C).
    75. d'Avernas, Adrien & Vandeweyer, Quentin & Petersen, Damon, 2025. "The central bank’s balance sheet and treasury market disruptions," Working Paper Series 3066, European Central Bank.
    76. Jason Allen & Milena Wittwer, 2023. "Intermediary Market Power and Capital Constraints," Staff Working Papers 23-51, Bank of Canada.
    77. Hongcheng Ding & Xuanze Zhao & Ruiting Deng & Shamsul Nahar Abdullah & Deshinta Arrova Dewi, 2024. "EUR-USD Exchange Rate Forecasting Based on Information Fusion with Large Language Models and Deep Learning Methods," Papers 2408.13214, arXiv.org, revised Jun 2025.
    78. Charles Armah Danso & James Refalo, 2025. "An Examination of G10 Carry Trade and Covered Interest Arbitrage Before, During, and After Financial Crises," JRFM, MDPI, vol. 18(4), pages 1-15, April.
    79. Jonathan Goldberg & Yoshio Nozawa, 2021. "Liquidity Supply in the Corporate Bond Market," Journal of Finance, American Finance Association, vol. 76(2), pages 755-796, April.
    80. José Miguel Cardoso da Costa & Rui Albuquerque, 2023. "Price elasticity of demand and risk-bearing capacity in sovereign bond auctions," Working Papers w202302, Banco de Portugal, Economics and Research Department.
    81. Eugenio Cerutti & Haonan Zhou, 2024. "Uncovering CIP Deviations in Emerging Markets: Distinctions, Determinants, and Disconnect," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 72(1), pages 196-252, March.
    82. Klingler, Sven & Sundaresan, Suresh, 2023. "Diminishing treasury convenience premiums: Effects of dealers’ excess demand and balance sheet constraints," Journal of Monetary Economics, Elsevier, vol. 135(C), pages 55-69.
    83. Gutierrez, Bryan & Ivashina, Victoria & Salomao, Juliana, 2023. "Why is dollar debt Cheaper? Evidence from Peru," Journal of Financial Economics, Elsevier, vol. 148(3), pages 245-272.
    84. Du, Wenxin & Hébert, Benjamin & Li, Wenhao, 2023. "Intermediary balance sheets and the treasury yield curve," Journal of Financial Economics, Elsevier, vol. 150(3).
    85. Schmidt, Julia & Caccavaio, Marianna & Carpinelli, Luisa & Marinelli, Giuseppe, 2018. "International spillovers of monetary policy: Evidence from France and Italy," Journal of International Money and Finance, Elsevier, vol. 89(C), pages 50-66.
    86. Nadav Ben Zeev & Daniel Nathan, 2023. "The Persistent Widening of Cross-Currency Basis: When Increased FX Swap Demand Meets Limits of Arbitrage," Working Papers 2316, Ben-Gurion University of the Negev, Department of Economics.
    87. 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.
    88. 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.
    89. Piccotti, Louis R. & Schreiber, Ben Z., 2020. "Information shares in a two-tier FX market," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 19-35.
    90. Gabor Pinter & Emil Siriwardane & Danny Walker, 2024. "Fire sales of safe assets," BIS Working Papers 1233, Bank for International Settlements.
    91. Ricardo Correa & Wenxin Du & Gordon Y. Liao, 2020. "U.S. Banks and Global Liquidity," NBER Working Papers 27491, National Bureau of Economic Research, Inc.
    92. Ahn, Yongkil, 2024. "Flight to safety, intermediation frictions, and US Treasury floating rate note prices," Finance Research Letters, Elsevier, vol. 60(C).
    93. Maggiori, Matteo, 2021. "International Macroeconomics With Imperfect Financial Markets," SocArXiv z8g6r, Center for Open Science.
    94. Marco Del Negro & Domenico Giannone & Marc Giannoni & Andrea Tambalotti, 2018. "Global trends in interest rates," Staff Reports 866, Federal Reserve Bank of New York.
    95. Hanson, Samuel G. & Malkhozov, Aytek & Venter, Gyuri, 2024. "Demand-and-supply imbalance risk and long-term swap spreads," Journal of Financial Economics, Elsevier, vol. 154(C).
    96. Reitz, Stefan & Umlandt, Dennis, 2019. "Foreign exchange dealer asset pricing," Discussion Papers 39/2019, Deutsche Bundesbank.
    97. Philippe Bacchetta & Kenza Benhima & Jean-Paul Renne, 2022. "Understanding Swiss real interest rates in a financially globalized world," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 158(1), pages 1-17, December.
    98. Koresh Galil & Lior David-Pur & Mosi Rosenboim & Offer Moshe Shapir, 2023. "Shedding Light on the Dynamics of the Secured Overnight Financing Rate (SOFR)," Working Papers 2310, Ben-Gurion University of the Negev, Department of Economics.
    99. Chen, Shiyi & Chng, Michael T. & Liu, Qingfu, 2021. "The implied arbitrage mechanism in financial markets," Journal of Econometrics, Elsevier, vol. 222(1), pages 468-483.
    100. Elias, Nikolaos & Smyrnakis, Dimitris & Tzavalis, Elias, 2024. "The forward premium anomaly and the currency carry trade hypothesis," The Quarterly Review of Economics and Finance, Elsevier, vol. 95(C), pages 203-218.
    101. de Boer, Jantke & Eichler, Stefan, 2024. "FX dealer constraints and external imbalances," Ruhr Economic Papers 1132, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    102. José-Luis Peydró [AP BACKUP – NOW EXTERNAL] & Salih Fendoğlu & Eda Gülşen & José-Luis Peydró, 2019. "Global Liquidity and Impairment of Local Monetary Policy," Working Papers 1131, Barcelona School of Economics.
    103. Ragna Alstadheim & Christine Blandhol, 2018. "The global financial cycle, bank capital flows and monetary policy. Evidence from Norway," Working Paper 2018/2, Norges Bank.
    104. Zhengyang Jiang & Arvind Krishnamurthy & Hanno Lustig, 2024. "The Rest of the World’s Dollar-Weighted Return on U.S. Treasurys," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 72(4), pages 1320-1346, December.
    105. Fabiani, Andrea & Piñeros, Martha López & Peydró, José-Luis & Soto, Paul E., 2022. "Capital controls, domestic macroprudential policy and the bank lending channel of monetary policy," Journal of International Economics, Elsevier, vol. 139(C).
    106. Boudiaf, Ismael Alexander & Scheicher, Martin & Frieden, Immo, 2024. "The market liquidity of interest rate swaps," ESRB Working Paper Series 147, European Systemic Risk Board.
    107. Piotr Kotlarz & Michael Hanke & Sebastian Stöckl, 2023. "Regime-dependent drivers of the EUR/CHF exchange rate," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 159(1), pages 1-18, December.
    108. Pelizzon, Loriana & Subrahmanyam, Marti G. & Tomio, Davide & Uno, Jun, 2018. "Central bank-driven mispricing," SAFE Working Paper Series 226, Leibniz Institute for Financial Research SAFE, revised 2018.
    109. Robin Greenwood & Samuel G. Hanson & Jeremy C. Stein & Adi Sunderam, 2020. "A Quantity-Driven Theory of Term Premia and Exchange Rates," NBER Working Papers 27615, National Bureau of Economic Research, Inc.
    110. Fernando Eguren-Martin & Matias Ossandon Busch & Dennis Reinhardt, 2018. "Global banks and synthetic funding: the benefits of foreign relatives," Bank of England working papers 762, Bank of England.
    111. Sandri, Damiano, 2023. "FX intervention to stabilize or manipulate the exchange rate? Inference from profitability," Journal of International Money and Finance, Elsevier, vol. 131(C).
    112. Calomiris, Charles W. & Larrain, Mauricio & Schmukler, Sergio L. & Williams, Tomas, 2022. "Large international corporate bonds: Investor behavior and firm responses," Journal of International Economics, Elsevier, vol. 137(C).
    113. Charles W. Calomiris & Mauricio Larrain & Sergio L. Schmukler & Tomas Williams, 2020. "Search for Yield in Large International Corporate Bonds: Investor Behavior and Firm Responses," Mo.Fi.R. Working Papers 165, Money and Finance Research group (Mo.Fi.R.) - Univ. Politecnica Marche - Dept. Economic and Social Sciences.
    114. Angelo Ranaldo & Patrick Schaffner & Michalis Vasios, 2019. "Regulatory effects on short-term interest rates," Bank of England working papers 801, Bank of England.
    115. Ingomar Krohn & Philippe Mueller & Paul Whelan, 2021. "Foreign Exchange Fixings and Returns Around the Clock," Staff Working Papers 21-48, Bank of Canada.
    116. Abbassi, Puriya & Bräuning, Falk, 2023. "Exchange rate risk, banks' currency mismatches, and credit supply," Journal of International Economics, Elsevier, vol. 141(C).
    117. 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.
    118. Valentin Haddad & Alan Moreira & Tyler Muir, 2020. "When Selling Becomes Viral: Disruptions in Debt Markets in the COVID-19 Crisis and the Fed’s Response," NBER Working Papers 27168, National Bureau of Economic Research, Inc.
    119. Rodrigo Guimaraes & Gabor Pinter & Jean-Charles Wijnandts, 2023. "The liquidity state-dependence of monetary policy transmission," Bank of England working papers 1045, Bank of England.
    120. Walz, Stefan, 2024. "How does the fed affect corporate credit costs? Default risk, creditor segmentation and the post-FOMC drift," Journal of Monetary Economics, Elsevier, vol. 143(C).
    121. Chen, Yu-Lun & Li, Yi-Hua & Mo, Wan-Shin & Yang, J. Jimmy, 2025. "Covered interest rate parity deviations, COVID-19 pandemic infection cases, and vaccination," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 99(C).
    122. Huber, Amy Wang, 2023. "Market power in wholesale funding: A structural perspective from the triparty repo market," Journal of Financial Economics, Elsevier, vol. 149(2), pages 235-259.
    123. Hanson, Samuel & Malkhozov, Aytek & Venter, Gyuri, 2022. "Demand-supply imbalance risk and long-term swap spreads," LSE Research Online Documents on Economics 118868, London School of Economics and Political Science, LSE Library.
    124. Robe, Michel A., 2022. "The dollar’s ”Convenience Yield”," Finance Research Letters, Elsevier, vol. 48(C).
    125. Kose, M. Ayhan & Claessens, Stijn, 2017. "Asset Prices and Macroeconomic Outcomes: A Survey," CEPR Discussion Papers 12460, C.E.P.R. Discussion Papers.
    126. Itskhoki, Oleg & Mukhin, Dmitry, 2021. "Exchange rate disconnect in general equilibrium," LSE Research Online Documents on Economics 112140, London School of Economics and Political Science, LSE Library.
    127. Jiakai Chen & Haoyang Liu & Asani Sarkar & Zhaogang Song, 2020. "Dealers and the Dealer of Last Resort: Evidence from the Agency MBS Markets in the COVID-19 Crisis," Staff Reports 933, Federal Reserve Bank of New York.
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    272. Adrien D'Avernas & Quentin Vandeweyer, 2024. "Treasury Bill Shortages and the Pricing of Short‐Term Assets," Journal of Finance, American Finance Association, vol. 79(6), pages 4083-4141, December.
    273. Chernov, Mikhail & Augustin, Patrick & Schmid, Lukas & Song, Dongho, 2020. "The term structure of CIP violations," CEPR Discussion Papers 14774, C.E.P.R. Discussion Papers.
    274. Han, Bo, 2022. "Currency denomination and borrowing cost: Evidence from global bonds," Journal of Multinational Financial Management, Elsevier, vol. 66(C).
    275. Wenxin Du & Ritt Keerati & Jesse Schreger, 2025. "Decoupling Dollar and Treasury Privilege," International Finance Discussion Papers 1427, Board of Governors of the Federal Reserve System (U.S.).
    276. Kaufmann, Christoph, 2020. "Investment funds, monetary policy, and the global financial cycle," VfS Annual Conference 2020 (Virtual Conference): Gender Economics 224573, Verein für Socialpolitik / German Economic Association.
    277. Ibhagui, Oyakhilome, 2019. "Wider Covered Interest Parity Deviations and Lower Stock Returns: Evidence from the Eurozone," MPRA Paper 92363, University Library of Munich, Germany.
    278. Aziz, Nusrate, 2024. "Why does uncovered interest parity fail empirically?," International Review of Financial Analysis, Elsevier, vol. 95(PB).
    279. David-Pur, Lior & Galil, Koresh & Rosenboim, Mosi & Shapir, Offer Moshe, 2023. "Cross-currency basis swap spreads and corporate dollar funding," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 85(C).
    280. Ioannis Chatziantoniou & David Gabauer & Alexis Stenfors, 2019. "From CIP-Deviations to a Market for Risk Premia: A Dynamic Investigation of Cross-Currency Basis Swaps," Working Papers in Economics & Finance 2019-05, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
    281. Kargar, Mahyar, 2021. "Heterogeneous intermediary asset pricing," Journal of Financial Economics, Elsevier, vol. 141(2), pages 505-532.
    282. Jamali, Ibrahim & Yamani, Ehab, 2019. "Out-of-sample exchange rate predictability in emerging markets: Fundamentals versus technical analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 61(C), pages 241-263.
    283. Aldunate, Felipe & Da, Zhi & Larrain, Borja & Sialm, Clemens, 2025. "Pension fund flows, exchange rates, and covered interest rate parity," Journal of Financial Economics, Elsevier, vol. 170(C).
    284. Zhongjin Lu & Zhongling Qin, 2021. "Leveraged Funds and the Shadow Cost of Leverage Constraints," Journal of Finance, American Finance Association, vol. 76(3), pages 1295-1338, June.
    285. Daniel Fried, 2023. "The U.S. Dollar as an International Currency and Its Economic Effects: Working Paper 2023-04," Working Papers 58764, Congressional Budget Office.
    286. Hassan, Tarek & Zhang, Tony, 2020. "The Economics of Currency Risk," CEPR Discussion Papers 15313, C.E.P.R. Discussion Papers.
    287. Zhang, Shaojun, 2022. "Dissecting currency momentum," Journal of Financial Economics, Elsevier, vol. 144(1), pages 154-173.
    288. Financial Stability Committee, Task Force on cross-border Spillover Effects of macroprudential measures & Kok, Christoffer & Reinhardt, Dennis, 2020. "Cross-border spillover effects of macroprudential policies: a conceptual framework," Occasional Paper Series 242, European Central Bank.
    289. Hu, Jiafei & Yuan, Haishan, 2021. "Interest arbitrage under capital controls: Evidence from reported entrepôt trades," Journal of Banking & Finance, Elsevier, vol. 127(C).
    290. Soumya Datta, 2019. "Exchange rate dynamics under limits of arbitrage and heterogeneous expectations," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 14(3), pages 521-550, September.

  3. Hanno Lustig & Adrien Verdelhan, 2016. "Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?," NBER Working Papers 22023, National Bureau of Economic Research, Inc.

    Cited by:

    1. Lewis, Karen K. & Liu, Edith X., 2017. "Disaster risk and asset returns: An international perspective," Journal of International Economics, Elsevier, vol. 108(S1), pages 42-58.
    2. 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.
    3. Zhengyang Jiang & Arvind Krishnamurthy & Hanno Lustig, 2018. "Foreign Safe Asset Demand and the Dollar Exchange Rate," NBER Working Papers 24439, National Bureau of Economic Research, Inc.
    4. Florez-Orrego, Sergio & Maggiori, Matteo & Schreger, Jesse & Sun, Ziwen & Tinda, Serdil, 2023. "Global Capital Allocation," SocArXiv 5s6n3, Center for Open Science.
    5. Adams, Jonathan J. & Barrett, Philip, 2021. "Why are countries’ asset portfolios exposed to nominal exchange rates?," Journal of International Money and Finance, Elsevier, vol. 110(C).
    6. Nessrine Hamzaoui & Boutheina Regaieg, 2016. "The Glosten-Jagannathan-Runkle-Generalized Autoregressive Conditional Heteroscedastic approach to investigating the foreign exchange forward premium volatility," International Journal of Economics and Financial Issues, Econjournals, vol. 6(4), pages 1608-1615.
    7. Jonathan J Adams & Philip Barrett, 2017. "Resolving International Macro Puzzles with Imperfect Risk Sharing and Global Solution Methods," Working Papers 001003, University of Florida, Department of Economics.

  4. Michael Siemer & Adrien Verdelhan & Francois Gourio, 2015. "Uncertainty and International Capital Flows," 2015 Meeting Papers 880, Society for Economic Dynamics.

    Cited by:

    1. Pattanaporn Chatjuthamard & Sirimon Treepongkaruna & Pornsit Jiraporn & Napatsorn Jiraporn, 2021. "Does firm‐level political risk influence corporate social responsibility (CSR)? Evidence from earnings conference calls," The Financial Review, Eastern Finance Association, vol. 56(4), pages 721-741, November.
    2. Hernández Vega Marco A., 2021. "The Nonlinear Effect of Uncertainty in Portfolio Flows to Mexico," Working Papers 2021-11, Banco de México.
    3. M. Kabir Hassan & M. Sydul Karim & Tarun Mukherjee, 2023. "Does corporate diversification retrench the effects of firm‐level political risk?," The Financial Review, Eastern Finance Association, vol. 58(4), pages 663-702, November.
    4. Tarek A. Hassan & Stephan Hollander & Laurence van Lent & Ahmed Tahoun, 2019. "Firm-Level Political Risk: Measurement and Effects," Working Papers Series 96, Institute for New Economic Thinking.
    5. Feng, Chaonan & Han, Liyan & Vigne, Samuel & Xu, Yang, 2023. "Geopolitical risk and the dynamics of international capital flows," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 82(C).
    6. Benhima, Kenza & Cordonier, Rachel, 2022. "News, sentiment and capital flows," Journal of International Economics, Elsevier, vol. 137(C).
    7. Christian Friedrich & Pierre Guérin, 2016. "The Dynamics of Capital Flow Episodes," Staff Working Papers 16-9, Bank of Canada.
    8. Summaira Malik & Ali Abbas & Malik Shahzad Shabbir & Carlos Samuel Ramos-Meza, 2024. "Business Cycle Fluctuations, Foreign Direct Investment, and Real Effective Exchange Rate Nexus Among Asian Countries," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 15(2), pages 5466-5479, June.
    9. Gad, Mahmoud & Nikolaev, Valeri & Tahoun, Ahmed & van Lent, Laurence, 2024. "Firm-level political risk and credit markets," Journal of Accounting and Economics, Elsevier, vol. 77(2).
    10. Wang, Bo & Yan, Ruolan & Chen, Yang, 2025. "Predicting abnormal capital flow episodes with machine learning methods," The Quarterly Review of Economics and Finance, Elsevier, vol. 103(C).
    11. Davis, J. Scott & Van Wincoop, Eric, 2018. "Globalization and the increasing correlation between capital inflows and outflows," Journal of Monetary Economics, Elsevier, vol. 100(C), pages 83-100.
    12. Sangyup Choi & Davide Furceri, 2018. "Uncertainty and Cross-Border Banking Flows," IMF Working Papers 2018/004, International Monetary Fund.
    13. Sangyup Choi & Davide Furceri & Chansik Yoon, 2021. "Policy uncertainty and foreign direct investment," Review of International Economics, Wiley Blackwell, vol. 29(2), pages 195-227, May.
    14. Ina Simonovska & Espen Henriksen & Joel David, 2016. "The Risky Capital of Emerging Markets," 2016 Meeting Papers 125, Society for Economic Dynamics.
    15. Jongrim Ha & Seohyun Lee & Inhwan So, 2022. "The Impact of Uncertainty Shocks: Evidence from Geopolitical Swings on the Korean Peninsula," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(1), pages 21-56, February.
    16. Gao, Xiang & Hu, Yichuan & Wang, Huanhuan & Wang, Xiaohu, 2022. "Brexit and global equity fund capital reallocation," Journal of International Money and Finance, Elsevier, vol. 125(C).
    17. Banerjee, Pradip & Bose, Sudipta & Dhole, Sandip & Truong, Cameron, 2025. "Greening up their act: Corporate carbon emissions reduction in response to political risk," Energy Economics, Elsevier, vol. 150(C).
    18. Robert Kollmann, 2016. "International Business Cycles and Risk Sharing with Uncertainty Shocks and Recursive Preferences," Working Papers ECARES ECARES 2016-13, ULB -- Universite Libre de Bruxelles.
    19. Fogli, Alessandra & Perri, Fabrizio, 2015. "Macroeconomic volatility and external imbalances," Journal of Monetary Economics, Elsevier, vol. 69(C), pages 1-15.
    20. Çepni, Oğuzhan & Gül, Selçuk & Hacıhasanoğlu, Yavuz Selim & Yılmaz, Muhammed Hasan, 2020. "Global uncertainties and portfolio flow dynamics of the BRICS countries," Research in International Business and Finance, Elsevier, vol. 54(C).
    21. Chatjuthamard, Pattanaporn & Mook Lee, Sang & Kim, Young S. & Jiraporn, Pornsit & Potosky, Denise, 2024. "Climate change and shareholder value: Evidence from textual analysis and Trump’s unexpected victory," Journal of Business Research, Elsevier, vol. 180(C).
    22. Kacperczyk, Marcin & Nosal, Jaromir & Wang, Tianyu, 2025. "Global volatility and firm-level capital flows," Journal of Financial Economics, Elsevier, vol. 169(C).
    23. Agustin Benetrix & Michael Curran, 2020. "Uncertainty Shocks and the Cross-Border Funding of Banks: Unmasking Heterogeneity," Trinity Economics Papers tep0920, Trinity College Dublin, Department of Economics.
    24. Jizhi Zhao & Guangfu Chen & Ying Song, 2025. "The quantile time–frequency connectedness of economic policy uncertainty between China and the G7 countries," PLOS ONE, Public Library of Science, vol. 20(12), pages 1-20, December.
    25. Trung, Nguyen Ba, 2019. "The spillover effects of US economic policy uncertainty on the global economy: A global VAR approach," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 90-110.
    26. Wong, Jin Boon & Zhang, Qin, 2025. "The impact of political risks on carbon emissions," Energy Economics, Elsevier, vol. 141(C).
    27. Yang, Lu & Xu, Haifeng, 2025. "Shifting risk preferences of foreign institutional investors on corporate social responsibility amidst the U.S.-China trade war," Journal of International Money and Finance, Elsevier, vol. 154(C).
    28. Robert Kollmann, 2016. "Risk Sharing, the Exchange Rate and Net Foreign Assets in a World Economy with Uncertainty Shocks," 2016 Meeting Papers 721, Society for Economic Dynamics.
    29. Sangyup Choi & Davide Furceri & Chansik Yoon, 2019. "Policy Uncertainty and FDI Flows: The Role of Institutional Quality and Financial Development," Working papers 2019rwp-144, Yonsei University, Yonsei Economics Research Institute.
    30. Sangyup Choi & Gabriele Ciminelli & Davide Furceri, 2022. "Is Domestic Uncertainty a Local Pull Factor Driving Foreign Capital Inflows? New Cross-Country Evidence," Working papers 2022rwp-195, Yonsei University, Yonsei Economics Research Institute.
    31. Bai, Chenjiang & Duan, Yuejiao & Liu, Congya & Qiu, Leiju, 2022. "International taxation sentiment and COVID-19 crisis," Research in International Business and Finance, Elsevier, vol. 63(C).
    32. Andrikopoulos, Athanasios & Chen, Zhongfei & Chortareas, Georgios & Li, Kexin, 2023. "Global economic policy Uncertainty, gross capital Inflows, and the mitigating role of Macroprudential policies," Journal of International Money and Finance, Elsevier, vol. 131(C).
    33. Yu, Xiaojian & Li, Zhiyong & Lien, Donald & Hu, Jinqiang, 2024. "Identifying crucial financial markets in the flows of cross-border capital – evidence from China's financial risk network," International Review of Economics & Finance, Elsevier, vol. 96(PB).
    34. 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.
    35. Ftiti, Zied & Ben Ameur, Hachmi & Louhichi, Wael & Anastasiou, Dimitris & Awijen, Haithem, 2024. "Revisiting capital flow drivers: Regional dynamics, constraints, and geopolitical influences," Journal of International Money and Finance, Elsevier, vol. 142(C).
    36. Yang Liu & Mariano Croce & Ivan Shaliastovich & Ric Colacito, 2016. "Volatility Risk Pass-Through," 2016 Meeting Papers 135, Society for Economic Dynamics.

  5. 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.

    Cited by:

    1. Mikhail Chernov & Lars A. Lochstoer & Stig R. H. Lundeby, 2018. "Conditional Dynamics and the Multi-Horizon Risk-Return Trade-Off," NBER Working Papers 25361, National Bureau of Economic Research, Inc.
    2. Sarah Mouabbi, 2014. "An arbitrage-free Nelson-Siegel term structure model with stochastic volatility for the determination of currency risk premia," Working papers 527, Banque de France.
    3. David Backus & Nina Boyarchenko & Mikhail Chernov, 2016. "Term structures of asset prices and returns," Working Papers 16-08, New York University, Leonard N. Stern School of Business, Department of Economics.
    4. Thomas Eisenbach & Martin Schmalz & Marianne Andries, 2015. "Asset Pricing with Horizon-Dependent Risk Aversion," 2015 Meeting Papers 1069, Society for Economic Dynamics.
    5. Irina Zviadadze, 2014. "Term-structure of consumption risk premia in the cross-section of currency returns," 2014 Meeting Papers 1075, Society for Economic Dynamics.
    6. Gabaix, Xavier & Farhi, Emmanuel, 2015. "Rare Disasters and Exchange Rates," CEPR Discussion Papers 10334, C.E.P.R. Discussion Papers.
    7. 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.
    8. Marianne Andries & Thomas M. Eisenbach & Martin C. Schmalz, 2014. "Horizon-Dependent Risk Aversion and the Timing and Pricing of Uncertainty," Staff Reports 703, Federal Reserve Bank of New York.
    9. Ferdinand Dreher & Johannes Gräb & Thomas Kostka, 2020. "From carry trades to curvy trades," The World Economy, Wiley Blackwell, vol. 43(3), pages 758-780, March.
    10. Zhengyang Jiang, 2019. "US Fiscal Cycle and the Dollar," 2019 Meeting Papers 667, Society for Economic Dynamics.
    11. Mantzura, Ariel & Schreiber, Ben Z., 2019. "Predicting foreign investors’ carry trade activity in the Israeli FX market using a time-varying currency risk premium approach," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 438-457.

  6. Adrien Verdelhan, 2012. "The Share of Systematic Variation in Bilateral Exchange Rates," 2012 Meeting Papers 763, Society for Economic Dynamics.

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    1. Iwanaga, Yasuhiro & Sakemoto, Ryuta, 2025. "Conditional currency momentum portfolios," International Review of Financial Analysis, Elsevier, vol. 99(C).
    2. Friederike Niepmann & Tim Schmidt-Eisenlohr, 2019. "Institutional Investors, the Dollar, and U.S. Credit Conditions," International Finance Discussion Papers 1246, Board of Governors of the Federal Reserve System (U.S.).
    3. 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.
    4. Pagnottoni, Paolo & Spelta, Alessandro, 2024. "Hedging global currency risk: A dynamic machine learning approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 649(C).
    5. David R. Haab & Thomas Nitschka, 2020. "Carry trade and forward premium puzzle from the perspective of a safe‐haven currency," Review of International Economics, Wiley Blackwell, vol. 28(2), pages 376-394, May.
    6. Byrne, Joseph P. & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2022. "The time-varying risk price of currency portfolios," Journal of International Money and Finance, Elsevier, vol. 124(C).
    7. Hou, Ai Jun & Sarno, Lucio & Ye, Xiaoxia, 2025. "The trade imbalance network and currency returns," Journal of Financial Economics, Elsevier, vol. 172(C).
    8. Mehl, Arnaud & Stracca, Livio & Ferrari, Massimo Minesso, 2020. "Central bank digital currency in an open economy," CEPR Discussion Papers 15335, C.E.P.R. Discussion Papers.
    9. Giovanni Calice & Ming Zeng, 2021. "The term structure of sovereign credit default swap and the cross‐section of exchange rate predictability," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 445-458, January.
    10. Colacito, Riccardo & Riddiough, Steven J. & Sarno, Lucio, 2020. "Business cycles and currency returns," Journal of Financial Economics, Elsevier, vol. 137(3), pages 659-678.
    11. Adrian, Tobias & Xie, Peichu, 2020. "The Non-U.S. Bank Demand for U.S. Dollar Assets," CEPR Discussion Papers 14437, C.E.P.R. Discussion Papers.
    12. Galvez, Julio & Gambacorta, Leonardo & Mayordomo, Sergio & Serena, Jose Maria, 2021. "Dollar borrowing, firm credit risk, and FX-hedged funding opportunities," Journal of Corporate Finance, Elsevier, vol. 68(C).
    13. Shengnan Li & Edward P. K. Tsang & John O'Hara, 2022. "Measuring relative volatility in high‐frequency data under the directional change approach," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 29(2), pages 86-102, April.
    14. Trancoso, Tiago & Gomes, Sofia, 2023. "Beyond the dollar: A global perspective on exchange rate dynamics via currency factors," Finance Research Letters, Elsevier, vol. 58(PA).
    15. 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.).
    16. Engel, Charles & Kazakova, Ekaterina & Wang, Mengqi & Xiang, Nan, 2021. "A Reconsideration of the Failure of Uncovered Interest Parity for the U.S. Dollar," CEPR Discussion Papers 15872, C.E.P.R. Discussion Papers.
    17. Saart, Patrick W. & Xia, Yingcun, 2022. "Functional time series approach to analyzing asset returns co-movements," Journal of Econometrics, Elsevier, vol. 229(1), pages 127-151.
    18. Asano, Takao & Cai, Xiaojing & Sakemoto, Ryuta, 2025. "Global foreign exchange volatility, ambiguity, and currency carry trades," Journal of Banking & Finance, Elsevier, vol. 178(C).
    19. Jairo Andrés Rendón, 2020. "Foreign exchange risk in stock returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 25(3), pages 430-443, July.
    20. Jiang, Zhengyang & Richmond, Robert J. & Zhang, Tony, 2025. "Understanding the strength of the dollar," Journal of Financial Economics, Elsevier, vol. 168(C).
    21. Liu, Clark & Wang, Ben Zhe & Wang, Huanhuan & Zhang, Ji, 2019. "What drives fluctuations in exchange rate growth in emerging markets – A multi-level dynamic factor approach," Economic Systems, Elsevier, vol. 43(2), pages 1-1.
    22. Aloosh, Arash, 2014. "Global Variance Risk Premium and Forex Return Predictability," MPRA Paper 59931, University Library of Munich, Germany.
    23. J. Scott Davis & Andrei Zlate, 2024. "Real Exchange Rates and the Global Financial Cycle," Working Papers 2416, Federal Reserve Bank of Dallas, revised 20 May 2025.
    24. Lee, Suzanne S. & Wang, Minho, 2019. "The impact of jumps on carry trade returns," Journal of Financial Economics, Elsevier, vol. 131(2), pages 433-455.
    25. Abuelfadl, Moustafa & Yamani, Ehab, 2025. "The response of emerging financial markets to IMF news during COVID-19 pandemic11We are grateful for the comments and suggestions of Ali Kutan, Kate Phylaktis, Mahmoud Mohieldin and Galina Hale," International Review of Economics & Finance, Elsevier, vol. 101(C).
    26. 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.
    27. 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.
    28. Valentina Bruno & Ilhyock Shim & Hyun Song Shin, 2022. "Dollar beta and stock returns," Oxford Open Economics, Oxford University Press, vol. 1, pages 1-10.
    29. Maggiori, Matteo, 2021. "International Macroeconomics With Imperfect Financial Markets," SocArXiv z8g6r, Center for Open Science.
    30. Phylaktis, Kate & Yamani, Ehab, 2025. "Foreign currency forecasting in emerging markets: What can stock and bond markets tell us?," Journal of Empirical Finance, Elsevier, vol. 83(C).
    31. 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.
    32. 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).
    33. Jiang, Zhengyang, 2021. "US Fiscal cycle and the dollar," Journal of Monetary Economics, Elsevier, vol. 124(C), pages 91-106.
    34. 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.
    35. Lin, Mei-Chen, 2024. "Salience, psychological anchors, and stock return predictability," Pacific-Basin Finance Journal, Elsevier, vol. 88(C).
    36. Lehkonen, Heikki & Heimonen, Kari & Pukthuanthong, Kuntara, 2025. "Media tone is a priced risk factor in currency markets," Journal of Banking & Finance, Elsevier, vol. 180(C).
    37. Michael Kunkler, 2023. "Synthetic money: Addressing the budget‐constraint issue," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 3774-3788, October.
    38. Georgiadis, Georgios & Müller, Gernot J. & Schumann, Ben, 2021. "Global risk and the dollar," Working Paper Series 2628, European Central Bank.
    39. Yung, Julieta, 2021. "Can interest rate factors explain exchange rate fluctuations?," Journal of Empirical Finance, Elsevier, vol. 61(C), pages 34-56.
    40. Lin, Juan & Ling, Yufan, 2025. "A unified factor model for emerging market currency comovements," Finance Research Letters, Elsevier, vol. 86(PG).
    41. Hsuan Fu & Jui‐Chung Yang, 2022. "International currency markets and the COVID‐19 pandemic," Pacific Economic Review, Wiley Blackwell, vol. 27(4), pages 400-422, October.
    42. Fabian Fink & Lukas Frei & Oliver Gloede, 2020. "Short-term determinants of bilateral exchange rates: A decomposition model for the Swiss franc," Working Papers 2020-21, Swiss National Bank.
    43. Gordon Schulze, 2021. "Carry Trade Returns and Segmented Risk Pricing," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 49(1), pages 23-40, March.
    44. Liu, De-Chih & Chang, Yu-Chien, 2022. "Systematic variations in exchange rate returns," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 569-583.
    45. 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).
    46. Fredy Gamboa-Estrada & Jose Vicente Romero, 2021. "Common and idiosyncratic movements in Latin-American Exchange Rates," Borradores de Economia 1158, Banco de la Republica de Colombia.
    47. Andrews, Spencer & Colacito, Riccardo & Croce, Mariano M. & Gavazzoni, Federico, 2024. "Concealed carry," Journal of Financial Economics, Elsevier, vol. 159(C).
    48. Jairo A. Rendon, 2019. "Global And Regional Risks In Currency Returns," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(08), pages 1-25, December.
    49. Wang, Xinjie & Xiao, Yaqing & Yan, Hongjun & Zhang, Jinfan, 2021. "Under-reaction in the sovereign CDS market," Journal of Banking & Finance, Elsevier, vol. 130(C).
    50. Korsaye, Sofonias Alemu & Trojani, Fabio & Vedolin, Andrea, 2023. "The global factor structure of exchange rates," Journal of Financial Economics, Elsevier, vol. 148(1), pages 21-46.
    51. Michaelides, Alexander & Milidonis, Andreas & Nishiotis, George P., 2019. "Private information in currency markets," Journal of Financial Economics, Elsevier, vol. 131(3), pages 643-665.
    52. Byrne, Joseph P. & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2019. "Carry trades and commodity risk factors," Journal of International Money and Finance, Elsevier, vol. 96(C), pages 121-129.
    53. Opie, Wei & Riddiough, Steven J., 2020. "Global currency hedging with common risk factors," Journal of Financial Economics, Elsevier, vol. 136(3), pages 780-805.
    54. Bergbrant, Mikael C. & Francis, Bill B. & Hunter, Delroy M., 2024. "How does currency risk impact firms? New evidence from bank loan contracts," Journal of Corporate Finance, Elsevier, vol. 84(C).
    55. Arash Aloosh & Geert Bekaert, 2019. "Currency Factors," NBER Working Papers 25449, National Bureau of Economic Research, Inc.
    56. Leonie Bräuer & Harald Hau, 2022. "Can Time-Varying Currency Risk Hedging Explain Exchange Rates?," CESifo Working Paper Series 10065, CESifo.
    57. Grobys, Klaus & Heinonen, Jari-Pekka & Kolari, James, 2018. "Return dispersion risk in FX and global equity markets: Does it explain currency momentum?," International Review of Financial Analysis, Elsevier, vol. 56(C), pages 264-280.
    58. Kunkler, Michael, 2024. "Highlighting some of the issues with multicurrency numéraires," Finance Research Letters, Elsevier, vol. 69(PB).
    59. Lee, Geul & Ryu, Doojin, 2025. "Are base layer blockchains establishing a new sector? Evidence from a connectedness approach," Research in International Business and Finance, Elsevier, vol. 73(PB).
    60. Eterovic, Dalibor & Sweet, Cassandra & Eterovic, Nicolas, 2022. "Asymmetric spillovers in emerging market monetary policy," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 650-662.
    61. Sarthak Behera & Hyeongwoo Kim, 2019. "Forecasting Dollar Real Exchange Rates and the Role of Real Activity Factors," Auburn Economics Working Paper Series auwp2019-04, Department of Economics, Auburn University.
    62. Liu, Xi & Zhang, Xueyong, 2024. "Geopolitical risk and currency returns," Journal of Banking & Finance, Elsevier, vol. 161(C).
    63. Mikhail Chernov & Magnus Dahlquist & Lars Lochstoer, 2023. "Pricing Currency Risks," Journal of Finance, American Finance Association, vol. 78(2), pages 693-730, April.
    64. Karolyi, G. Andrew & Wu, Ying, 2022. "Understanding the pricing of currency risk in global equity markets," Journal of Multinational Financial Management, Elsevier, vol. 63(C).
    65. Niepmann, Friederike & Schmidt-Eisenlohr, Tim, 2018. "Global Investors, the Dollar, and U.S. Credit Conditions," CEPR Discussion Papers 13237, C.E.P.R. Discussion Papers.
    66. Georgios Georgiadis & Gernot J. Müller & Ben Schumann, 2023. "Dollar Trinity and the Global Financial Cycle," Discussion Papers of DIW Berlin 2058, DIW Berlin, German Institute for Economic Research.
    67. Gourinchas, Pierre-Olivier & Rey, Hélène & Sauzet, Maxime, 2019. "The International Monetary and Financial System," Department of Economics, Working Paper Series qt19n967tz, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
    68. Cheng, Xin & Chen, Hongyi & Zhou, Yinggang, 2021. "Is the renminbi a safe-haven currency? Evidence from conditional coskewness and cokurtosis," Journal of International Money and Finance, Elsevier, vol. 113(C).
    69. Sai Ma & Tim Schmidt-Eisenlohr, 2023. "The Financial Channel of the Exchange Rate and Global Trade," CESifo Working Paper Series 10495, CESifo.
    70. Parra-Polanía, Julián & Sánchez-Jabba, Andrés & Sarmiento, Miguel, 2024. "Are FX communications effective? Evidence from emerging markets," Emerging Markets Review, Elsevier, vol. 59(C).
    71. Lorenzo Bretscher, 2023. "From Local to Global: Offshoring and Asset Prices," Management Science, INFORMS, vol. 69(3), pages 1420-1448, March.
    72. Taylor, Mark & Filippou, Ilias, 2019. "Forward-Looking Policy Rules and Currency Premia," CEPR Discussion Papers 13835, C.E.P.R. Discussion Papers.
    73. Jiang, Zhengyang & Richmond, Robert J., 2023. "Origins of international factor structures," Journal of Financial Economics, Elsevier, vol. 147(1), pages 1-26.
    74. Husnu C. Dalgic & Galip Kemal Ozhan, 2025. "Dominant Currency Pricing and Currency Risk Premia," CRC TR 224 Discussion Paper Series crctr224_2025_717, University of Bonn and University of Mannheim, Germany.
    75. Fabian Ackermann & Walt Pohl & Karl Schmedders, 2017. "Optimal and Naive Diversification in Currency Markets," Management Science, INFORMS, vol. 63(10), pages 3347-3360, October.
    76. Aleksandra Babii, 2019. "Exchange Rates Co-movement and International Trade," 2019 Meeting Papers 1150, Society for Economic Dynamics.
    77. Akbari, Amir & Carrieri, Francesca, 2023. "Global risk and market conditions," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 51-70.
    78. Gentner, Jessica, 2025. "The role of hedge funds in the Swiss franc foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 154(C).
    79. Antonia Diaz & Luis A. Puch, 2016. "Investment, Technological Progress and Energy Efficiency," Working Papers 909, Barcelona School of Economics.
    80. Eriksen, Jonas N., 2019. "Cross-sectional return dispersion and currency momentum," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 91-108.
    81. Fink, Fabian & Frei, Lukas & Gloede, Oliver, 2022. "Global risk sentiment and the Swiss franc: A time-varying daily factor decomposition model," Journal of International Money and Finance, Elsevier, vol. 122(C).
    82. Vedolin, Andrea & Korsaye, Sofonias Alemu & Trojani, Fabio, 2020. "The Global Factor Structure of Exchange Rates," CEPR Discussion Papers 15337, C.E.P.R. Discussion Papers.
    83. Sarthak Behera & Hyeongwoo Kim & Soohyon Kim, 2025. "Asymmetric Roles of Macroeconomic Variables in the Real Exchange Rate: Insights from U.S.-Korea Data," Auburn Economics Working Paper Series auwp2025-01, Department of Economics, Auburn University.
    84. Wei, Xiaobo & Mohsin, Muhammad & Zhang, Qiongxin, 2022. "Role of foreign direct investment and economic growth in renewable energy development," Renewable Energy, Elsevier, vol. 192(C), pages 828-837.
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    86. Atsushi Inoue & Barbara Rossi, 2015. "Tests for the validity of portfolio or group choice in financial and panel regressions," Economics Working Papers 1523, Department of Economics and Business, Universitat Pompeu Fabra.
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    91. Zhang, Shaojun, 2022. "Dissecting currency momentum," Journal of Financial Economics, Elsevier, vol. 144(1), pages 154-173.
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  7. François Gourio & Michael Siemer & Adrien Verdelhan, 2011. "International Risk Cycles," NBER Working Papers 17277, National Bureau of Economic Research, Inc.

    Cited by:

    1. Lewis, Karen K. & Liu, Edith X., 2017. "Disaster risk and asset returns: An international perspective," Journal of International Economics, Elsevier, vol. 108(S1), pages 42-58.
    2. Mumtaz, Haroon & Theodoridis, Konstantinos, 2017. "Common and country specific economic uncertainty," Journal of International Economics, Elsevier, vol. 105(C), pages 205-216.
    3. Sungurtekin Hallam, Bahar, 2022. "Emerging market responses to external shocks: A cross-country analysis," Economic Modelling, Elsevier, vol. 115(C).
    4. Seung-Gwan Baek & Chi-Young Song, 2016. "On the Determinants of Surges and Stops in Foreign Loans: An Empirical Investigation," Open Economies Review, Springer, vol. 27(3), pages 405-445, July.
    5. Hakon Tretvoll, 2018. "Real Exchange Variability in a Two-Country Business Cycle Model," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 27, pages 123-145, January.
    6. Simon Lloyd & Ed Manuel & Konstantin Panchev, 2024. "Foreign Vulnerabilities, Domestic Risks: The Global Drivers of GDP-at-Risk," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 72(1), pages 335-392, March.
    7. Juan Carlos Parra‐Alvarez & Olaf Posch & Andreas Schrimpf, 2022. "Peso problems in the estimation of the C‐CAPM," Quantitative Economics, Econometric Society, vol. 13(1), pages 259-313, January.
    8. Horvath, Jaroslav, 2020. "Macroeconomic disasters and the equity premium puzzle: Are emerging countries riskier?," Journal of Economic Dynamics and Control, Elsevier, vol. 112(C).
    9. 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.
    10. Robert Kollmann, 2015. "Risk sharing in a world economy with uncertainty shocks," CAMA Working Papers 2015-44, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    11. Kollmann, Robert, 2017. "Explaining International Business Cycle Synchronization: Recursive Preferences and the Terms of Trade Channel," CEPR Discussion Papers 11911, C.E.P.R. Discussion Papers.
    12. Hachula, Michael & Hoffmann, Sebastian, 2015. "The output effects of commodity price volatility: Evidence from exporting countries," Discussion Papers 2015/29, Free University Berlin, School of Business & Economics.
    13. Kristin J. Forbes & Francis E. Warnock, 2011. "Capital Flow Waves: Surges, Stops, Flight, and Retrenchment," NBER Working Papers 17351, National Bureau of Economic Research, Inc.
    14. Michael Siemer & Adrien Verdelhan & Francois Gourio, 2015. "Uncertainty and International Capital Flows," 2015 Meeting Papers 880, Society for Economic Dynamics.
    15. Fernández-Villaverde, Jesús & Levintal, Oren, 2016. "Solution Methods for Models with Rare Disasters," CEPR Discussion Papers 11115, C.E.P.R. Discussion Papers.
    16. Karen K. Lewis & Edith X. Liu, 2022. "How Can Asset Prices Value Exchange Rate Wedges?," Finance and Economics Discussion Series 2022-075, Board of Governors of the Federal Reserve System (U.S.).
    17. Tosapol Apaitan & Pongsak Luangaram & Pym Manopimoke, 2020. "Uncertainty and Economic Activity: Does it Matter for Thailand?," PIER Discussion Papers 130, Puey Ungphakorn Institute for Economic Research.
    18. Jair N. Ojeda-Joya, 2014. "A Consumption-Based Approach to Exchange Rate Predictability," Borradores de Economia 12339, Banco de la Republica.
    19. Charles Engel, 2013. "Exchange Rates and Interest Parity," NBER Working Papers 19336, National Bureau of Economic Research, Inc.
    20. Tino Berger & Sibylle Grabert & Bernd Kempa, 2016. "Global and Country-Specific Output Growth Uncertainty and Macroeconomic Performance," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 78(5), pages 694-716, October.
    21. Mr. Nikola Spatafora & Ms. Oana Luca, 2012. "Capital Inflows, Financial Development, and Domestic Investment: Determinants and Inter-Relationships," IMF Working Papers 2012/120, International Monetary Fund.
    22. Andreas Stathopoulos & Adrien Verdelhan & Hanno Lustig, 2017. "Nominal Exchange Rate Stationarity and Long-Term Bond Returns," 2017 Meeting Papers 1633, Society for Economic Dynamics.
    23. Londono, Juan M. & Zhou, Hao, 2017. "Variance risk premiums and the forward premium puzzle," Journal of Financial Economics, Elsevier, vol. 124(2), pages 415-440.
    24. Wang, Bo & Yan, Ruolan & Chen, Yang, 2025. "Predicting abnormal capital flow episodes with machine learning methods," The Quarterly Review of Economics and Finance, Elsevier, vol. 103(C).
    25. Kollmann, Robert, 2014. "Exchange Rates Dynamics with Long-Run Risk and Recursive Preferences," CEPR Discussion Papers 10232, C.E.P.R. Discussion Papers.
    26. Choi, Sangyup, 2017. "Variability in the effects of uncertainty shocks: New stylized facts from OECD countries," Journal of Macroeconomics, Elsevier, vol. 53(C), pages 127-144.
    27. Monica Billio & Michael Donadelli & Antonio Paradiso & Max Riedel, 2015. "Measuring Financial Integration: Lessons from the Correlation," Working Papers 2015:23, Department of Economics, University of Venice "Ca' Foscari".
    28. Aloosh, Arash, 2014. "Global Variance Risk Premium and Forex Return Predictability," MPRA Paper 59931, University Library of Munich, Germany.
    29. Charles Engel, 2011. "The Real Exchange Rate, Real Interest Rates, and the Risk Premium," Working Papers 272011, Hong Kong Institute for Monetary Research.
    30. Peter Claeys, 2017. "Uncertainty spillover and policy reactions," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 35(82), pages 64-77, April.
    31. Daniele Massacci, 2017. "Tail Risk Dynamics in Stock Returns: Links to the Macroeconomy and Global Markets Connectedness," Management Science, INFORMS, vol. 63(9), pages 3072-3089, September.
    32. Silvia Delrio, 2016. "Estimating the effects of global uncertainty in open economies," Working Papers 2016:19, Department of Economics, University of Venice "Ca' Foscari".
    33. Efrem Castelnuovo & Guay Lim & Giovanni Pellegrino, 2017. "A Short Review of the Recent Literature on Uncertainty," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 50(1), pages 68-78, March.
    34. Ivan Jaccard, 2019. "Structural Asymmetries and Financial Imbalances," 2019 Meeting Papers 988, Society for Economic Dynamics.
    35. Eric van Wincoop, 2011. "International Contagion Through Leveraged Financial Institutions," NBER Working Papers 17686, National Bureau of Economic Research, Inc.
    36. Alessandro Cantelmo, 2020. "Rare disasters, the natural interest rate and monetary policy," Temi di discussione (Economic working papers) 1309, Bank of Italy, Economic Research and International Relations Area.
    37. Phillips, Kerk L., 2015. "How non-traded goods may generate quasi-quadratic costs for capital adjustment," Economics Letters, Elsevier, vol. 127(C), pages 24-26.
    38. Robert Kollmann, 2016. "International Business Cycles and Risk Sharing with Uncertainty Shocks and Recursive Preferences," Working Papers ECARES ECARES 2016-13, ULB -- Universite Libre de Bruxelles.
    39. Cantelmo, Alessandro & Melina, Giovanni & Papageorgiou, Chris, 2023. "Macroeconomic outcomes in disaster-prone countries," Journal of Development Economics, Elsevier, vol. 161(C).
    40. Max Gillman & Michal Kejak & Michal Pakos, 2014. "Learning about Rare Disasters: Implications for Consumptions and Asset Prices," CEU Working Papers 2014_2, Department of Economics, Central European University.
    41. Lee, Seohyun, 2017. "Three essays on uncertainty: real and financial effects of uncertainty shocks," MPRA Paper 83617, University Library of Munich, Germany.
    42. Horvath, Jaroslav & Zhong, Jiansheng, 2019. "Unemployment dynamics in emerging countries: Monetary policy and external shocks," Economic Modelling, Elsevier, vol. 76(C), pages 31-49.
    43. Hui Chen & Winston Wei Dou & Leonid Kogan, 2024. "Measuring “Dark Matter” in Asset Pricing Models," Journal of Finance, American Finance Association, vol. 79(2), pages 843-902, April.
    44. Ivan Jaccard & Frank Smets, 2020. "Structural Asymmetries and Financial Imbalances in the Eurozone," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 36, pages 73-102, April.
    45. Matthew Canzoneri & Robert Cumby & Behzad Diba, 2013. "Addressing International Empirical Puzzles: the Liquidity of Bonds," Open Economies Review, Springer, vol. 24(2), pages 197-215, April.
    46. João Barata R B Barroso & Emanuel W Kohlscheen & Eduardo J A Lima, 2014. "What have central banks in EMEs learned about the international transmission of monetary policy in recent years?," BIS Papers chapters, in: Bank for International Settlements (ed.), The transmission of unconventional monetary policy to the emerging markets, volume 78, pages 95-109, Bank for International Settlements.
    47. Berger, Tino & Grabert, Sibylle & Kempa, Bernd, 2017. "Global macroeconomic uncertainty," Journal of Macroeconomics, Elsevier, vol. 53(C), pages 42-56.
    48. Mr. Fabio Comelli & Mrs. Esther Perez Ruiz, 2016. "To Bet or Not to Bet: Copper Price Uncertainty and Investment in Chile," IMF Working Papers 2016/218, International Monetary Fund.
    49. Kohlscheen, Emanuel, 2014. "The impact of monetary policy on the exchange rate: A high frequency exchange rate puzzle in emerging economies," Journal of International Money and Finance, Elsevier, vol. 44(C), pages 69-96.
    50. Ameet Kumar & Muhammad Ramzan Kalhoro & Rakesh Kumar & Niaz Hussain Ghumro & Sarfraz Ahmed Dakhan & Vikesh Kumar, 2020. "Decomposing the Effect of Domestic and Foreign Economic Policy Uncertainty Shocks on Real and Financial Sectors: Evidence from BRIC Countries," JRFM, MDPI, vol. 13(12), pages 1-23, December.
    51. Michaelides, Alexander & Milidonis, Andreas & Nishiotis, George P., 2019. "Private information in currency markets," Journal of Financial Economics, Elsevier, vol. 131(3), pages 643-665.
    52. Choi, Sangyup & Furceri, Davide & Huang, Yi & Loungani, Prakash, 2018. "Aggregate uncertainty and sectoral productivity growth: The role of credit constraints," Journal of International Money and Finance, Elsevier, vol. 88(C), pages 314-330.
    53. Andrada-Félix, Julián & Fernandez-Perez, Adrian & Sosvilla-Rivero, Simón, 2020. "Distant or close cousins: Connectedness between cryptocurrencies and traditional currencies volatilities," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 67(C).
    54. Giovanni Caggiano & Efrem Castelnuovo, 2023. "Global financial uncertainty," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(3), pages 432-449, April.
    55. Jeremy Graveline & Irina Zviadadze & Mikhail Chernov, 2012. "Crash Risk in Currency Returns," 2012 Meeting Papers 753, Society for Economic Dynamics.
    56. Masayuki Morikawa, 2016. "What Types of Policy Uncertainties Matter for Business?," Pacific Economic Review, Wiley Blackwell, vol. 21(5), pages 527-540, December.
    57. Robert Kollmann, 2015. "Exchange Rate and Current Account Dynamics: the Role of Asset Market Structure, Long-Run Risk and Risk Appetite," 2015 Meeting Papers 1397, Society for Economic Dynamics.
    58. Will Dison & Konstantinos Theodoridis, 2017. "Do macro shocks matter for equities?," Bank of England working papers 692, Bank of England.
    59. Jonathan Rice, 2020. "Policy Uncertainty Shocks and Small Open Economies in Monetary Union: a Case Study of Ireland," Trinity Economics Papers tep1020, Trinity College Dublin, Department of Economics.
    60. Mr. Ravi Balakrishnan & Stefan Laseen & Mr. Andrea Pescatori, 2016. "U.S. Dollar Dynamics: How Important Are Policy Divergence and FX Risk Premiums?," IMF Working Papers 2016/125, International Monetary Fund.
    61. Lorenzo Garlappi & Jack Favilukis, 2015. "The Carry Trade and UIP when Markets are Incomplete," 2015 Meeting Papers 242, Society for Economic Dynamics.
    62. Robert Kollmann, 2016. "Risk Sharing, the Exchange Rate and Net Foreign Assets in a World Economy with Uncertainty Shocks," 2016 Meeting Papers 721, Society for Economic Dynamics.
    63. Mauricio Alvarado & Gabriel Rodríguez, 2024. "Time-Varying Effects of Financial Uncertainty Shocks on Macroeconomic Fluctuations in Peru," Documentos de Trabajo / Working Papers 2024-531, Departamento de Economía - Pontificia Universidad Católica del Perú.
    64. Peter Claeys & Borek Vasicek, 2017. "Transmission of Uncertainty Shocks: Learning from Heterogeneous Responses on a Panel of EU Countries," Working Papers 2017/13, Czech National Bank, Research and Statistics Department.
    65. Charles Engel, 2016. "Exchange Rates, Interest Rates, and the Risk Premium," American Economic Review, American Economic Association, vol. 106(2), pages 436-474, February.
    66. 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.
    67. Saygin Sahinoz & Evren Erdogan Cosar, 2020. "Quantifying uncertainty and identifying its impacts on the Turkish economy," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 47(2), pages 365-387, May.
    68. Ready, Robert & Roussanov, Nikolai & Ward, Colin, 2017. "After the tide: Commodity currencies and global trade," Journal of Monetary Economics, Elsevier, vol. 85(C), pages 69-86.
    69. Andreas Stathopoulos & Adrien Verdelhan & Hanno Lustig, 2014. "The Term Structure of Currency Carry Trade Risk Premia," 2014 Meeting Papers 837, Society for Economic Dynamics.
    70. Seung-Gwan Baek & Chi-Young Song, 2019. "What Drives Stops in Cross-Border Bond Flows?," Sustainability, MDPI, vol. 11(14), pages 1-21, July.
    71. 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.
    72. Robert Kollmann, 2017. "Explaining International Business Cycle Synchronization," 2017 Meeting Papers 1489, Society for Economic Dynamics.
    73. Haroon Mumtaz & Konstantinos Theodoridis, 2016. "Volatility Co-movement and the Great Moderation. An Empirical Analysis," Working Papers 804, Queen Mary University of London, School of Economics and Finance.
    74. Efrem Castelnuovo & Guay Lim & Giovanni Pellegrino, 2018. "Macroeconomic Policies in a Low Interest Rate Environment: Back to Keynes?," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 51(1), pages 70-86, March.
    75. Dmitriev, Alexandre & Roberts, Ivan, 2013. "The cost of adjustment: On comovement between the trade balance and the terms of trade," Economic Modelling, Elsevier, vol. 35(C), pages 689-700.
    76. Chernov, Mikhail & Graveline, Jeremy & Zviadadze, Irina, 2012. "Sources of Risk in Currency Returns," CEPR Discussion Papers 8745, C.E.P.R. Discussion Papers.
    77. Lustig, Hanno & Roussanov, Nikolai & Verdelhan, Adrien, 2014. "Countercyclical currency risk premia," Journal of Financial Economics, Elsevier, vol. 111(3), pages 527-553.
    78. Crespo Cuaresma, Jesús & Huber, Florian & Onorante, Luca, 2020. "Fragility and the effect of international uncertainty shocks," Journal of International Money and Finance, Elsevier, vol. 108(C).
    79. Joris de Wind & Katarzyna Grabska, 2016. "The Impact of Uncertainty Shocks: Continental Europe versus the Anglo-Saxon World," CPB Discussion Paper 335, CPB Netherlands Bureau for Economic Policy Analysis.
    80. Emter, Lorenz, 2023. "Leverage cycles, growth shocks, and sudden stops in capital inflows," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 711-731.
    81. Carrière-Swallow, Yan & Céspedes, Luis Felipe, 2013. "The impact of uncertainty shocks in emerging economies," Journal of International Economics, Elsevier, vol. 90(2), pages 316-325.
    82. Max Gillman & Michal Kejak & Michal Pakos, 2014. "Learning about Disaster Risk: Joint Implications for Consumption and Asset Prices," CERGE-EI Working Papers wp507, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    83. Ricardo J. Caballero & Joseph B. Doyle, 2012. "Carry Trade and Systemic Risk: Why are FX Options so Cheap?," NBER Working Papers 18644, National Bureau of Economic Research, Inc.
    84. Hwang, So Jung & Suh, Hyunduk, 2021. "Overall and time-varying effects of global and domestic uncertainty on the Korean economy," Journal of Asian Economics, Elsevier, vol. 76(C).
    85. Dmitriev, Alexandre, 2017. "Composite habits and international transmission of business cycles," Journal of Economic Dynamics and Control, Elsevier, vol. 76(C), pages 1-34.
    86. Seohyun Lee & Inhwan So & Jongrim Ha, 2018. "Identifying Uncertainty Shocks due to Geopolitical Swings in Korea," Working Papers 2018-26, Economic Research Institute, Bank of Korea.
    87. Bhattarai, Saroj & Chatterjee, Arpita & Park, Woong Yong, 2020. "Global spillover effects of US uncertainty," Journal of Monetary Economics, Elsevier, vol. 114(C), pages 71-89.
    88. Hassan, Tarek & Zhang, Tony, 2020. "The Economics of Currency Risk," CEPR Discussion Papers 15313, C.E.P.R. Discussion Papers.
    89. Swamy, Vighneswara, 2020. "Macroeconomic transmission of Eurozone shocks to India—A mean-adjusted Bayesian VAR approach," Economic Analysis and Policy, Elsevier, vol. 68(C), pages 126-150.
    90. Emanuel Kohlscheen & Fernando Avalos & Andreas Schrimpf, 2016. "When the walk is not random: commodity prices and exchange rates," BIS Working Papers 551, Bank for International Settlements.

  8. Adrien Verdelhan & Nicola Borri, 2010. "Sovereign Risk Premia," 2010 Meeting Papers 1122, Society for Economic Dynamics.

    Cited by:

    1. Juan Carlos Hatchondo & Mr. Francisco Roch & Mr. Leonardo Martinez, 2012. "Fiscal Rules and the Sovereign Default Premium," IMF Working Papers 2012/030, International Monetary Fund.
    2. Borri, Nicola, 2018. "Local currency systemic risk," Emerging Markets Review, Elsevier, vol. 34(C), pages 111-123.
    3. Javier Bianchi & Juan Carlos Hatchondo & Leonardo Martinez, 2013. "International reserves and rollover risk," Working Paper 13-01, Federal Reserve Bank of Richmond.
    4. Peter Benczur & Cosmin L. Ilut, 2014. "Evidence for Relational Contracts in Sovereign Bank Lending," NBER Working Papers 20391, National Bureau of Economic Research, Inc.
    5. Juan Carlos Hatchondo & Cesar Sosa-Padilla & Leonardo Martinez, 2010. "Debt dilution, overborrowing, and sovereign default risk," 2010 Meeting Papers 481, Society for Economic Dynamics.
    6. Geert Bekaert & Campbell R. Harvey & Christian T. Lundblad & Stephan Siegel, 2014. "Political Risk Spreads," NBER Working Papers 19786, National Bureau of Economic Research, Inc.
    7. Dennis Bonam & Jasper Lukkezen, 2019. "Fiscal and Monetary Policy Coordination, Macroeconomic Stability, and Sovereign Risk Premia," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(2-3), pages 581-616, March.
    8. Mr. Luis Catão & Rui Mano, 2015. "Default Premium," IMF Working Papers 2015/167, International Monetary Fund.
    9. Jeanneret, Alexandre & Souissi, Slim, 2016. "Sovereign defaults by currency denomination," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 197-222.
    10. Marina Azzimonti & Vincenzo Quadrini, 2019. "International Spillovers and Bailouts," Department of Economics Working Papers 19-06, Stony Brook University, Department of Economics.
    11. Ignacio Presno & Demian Pouzo, 2012. "Sovereign Default Risk and Uncertainty Premia," 2012 Meeting Papers 608, Society for Economic Dynamics.
    12. Flavia Corneli & Emanuele Tarantino, 2015. "Sovereign debt and reserves with liquidity and productivity crises," Temi di discussione (Economic working papers) 1012, Bank of Italy, Economic Research and International Relations Area.
    13. Alessandro Dovis & Luigi Bocola, 2015. "Indeterminacy in Sovereign Debt Markets: An Empirical Investigation," 2015 Meeting Papers 694, Society for Economic Dynamics.
    14. Kieran Walsh, 2014. "Portfolio Choice and Partial Default in Emerging Markets: a quantitative analysis," 2014 Meeting Papers 789, Society for Economic Dynamics.
    15. Thomas Nitschka, 2012. "Global and country-specific business cycle risk in time-varying excess returns on asset markets," Working Papers 2012-10, Swiss National Bank.
    16. Cristina Arellano & Yan Bai, 2013. "Linkages across Sovereign Debt Markets," NBER Working Papers 19548, National Bureau of Economic Research, Inc.
    17. Eichler, Stefan & Plaga, Timo, 2020. "The economic record of the government and sovereign bond and stock returns around national elections," Journal of Banking & Finance, Elsevier, vol. 118(C).
    18. Nitschka, Thomas, 2018. "Bond market evidence of time variation in exposures to global risk factors and the role of US monetary policy," Journal of International Money and Finance, Elsevier, vol. 83(C), pages 44-54.
    19. Wenxin Du & Carolin E. Pflueger & Jesse Schreger, 2020. "Sovereign Debt Portfolios, Bond Risks, and the Credibility of Monetary Policy," Journal of Finance, American Finance Association, vol. 75(6), pages 3097-3138, December.
    20. Rebelo, Sérgio & Wang, Neng & Yang, Jinqiang, 2018. "Rare Disasters, Financial Development, and Sovereign Debt," CEPR Discussion Papers 13202, C.E.P.R. Discussion Papers.
    21. Ina Simonovska & Espen Henriksen & Joel David, 2016. "The Risky Capital of Emerging Markets," 2016 Meeting Papers 125, Society for Economic Dynamics.
    22. Yildirim, Zekeriya, 2016. "Global financial conditions and asset markets: Evidence from fragile emerging economies," Economic Modelling, Elsevier, vol. 57(C), pages 208-220.
    23. Reitz, Stefan & Umlandt, Dennis, 2019. "Foreign exchange dealer asset pricing," Discussion Papers 39/2019, Deutsche Bundesbank.
    24. Ina Simonovska & Espen Henriksen, 2013. "Time-Varying Risk Premia and Capital Flows to Developing Countries," 2013 Meeting Papers 1258, Society for Economic Dynamics.
    25. Yasin K rsat nder, 2021. "Liquidity Crises, Liquidity Lines and Sovereign Risk," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 21/1029, Ghent University, Faculty of Economics and Business Administration.
    26. Karen K. Lewis, 2011. "Global asset pricing," Globalization Institute Working Papers 88, Federal Reserve Bank of Dallas.
    27. Michael Kumhof & Romain Rancière & Pablo Winant, 2015. "Inequality, Leverage, and Crises," American Economic Review, American Economic Association, vol. 105(3), pages 1217-1245, March.
    28. Cristina Arellano & Yan Bai & Sandra Lizarazo, 2017. "Sovereign Risk Contagion," Staff Report 559, Federal Reserve Bank of Minneapolis.
    29. Josefin Meyer & Carmen M. Reinhart & Christoph Trebesch, 2019. "Sovereign Bonds since Waterloo," NBER Working Papers 25543, National Bureau of Economic Research, Inc.
    30. Luigi Bocola & Alessandro Dovis, 2016. "Self-Fulfilling Debt Crises: A Quantitative Analysis," NBER Working Papers 22694, National Bureau of Economic Research, Inc.
    31. Demian Pouzo & Ignacio Presno, 2015. "Sovereign Default Risk and Uncertainty Premia," Papers 1512.06960, arXiv.org.
    32. Peter Benczur & Cosmin Ilut, 2011. "Evidence for Dynamic Contracts in Sovereign Bank Lending," Working Papers 11-06, Duke University, Department of Economics.
    33. Cristina Arellano & Ananth Ramanarayanan, 2012. "Default and the Maturity Structure in Sovereign Bonds," Journal of Political Economy, University of Chicago Press, vol. 120(2), pages 187-232.
    34. Johri, Alok & Khan, Shahed & Sosa-Padilla, César, 2022. "Interest rate uncertainty and sovereign default risk," Journal of International Economics, Elsevier, vol. 139(C).
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    36. Grosse Steffen, Christoph & Podstawski, Maximilian, 2017. "Ambiguity and Time-Varying Risk Aversion in Sovereign Debt Markets," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168101, Verein für Socialpolitik / German Economic Association.
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    1. Cherchye, L.J.H. & Crawford, I. & de Rock, B. & Vermeulen, F.M.P., 2011. "Aggregation without the Aggravation? Nonparametric Analysis of the Representative Consumer," Other publications TiSEM e6102eac-a248-49dc-ae8e-1, Tilburg University, School of Economics and Management.

  10. Hanno Lustig & Nikolai Roussanov & Adrien Verdelhan, 2010. "Countercyclical Currency Risk Premia," NBER Working Papers 16427, National Bureau of Economic Research, Inc.

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    Cited by:

    1. 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.
    2. Matteo Maggiori, 2013. "The U.S. Dollar Safety Premium," 2013 Meeting Papers 75, Society for Economic Dynamics.
    3. Sarah Mouabbi, 2014. "An arbitrage-free Nelson-Siegel term structure model with stochastic volatility for the determination of currency risk premia," Working papers 527, Banque de France.
    4. Cosmin Ilut, 2009. "Ambiguity Aversion: Implications For The Uncovered Interest Rate Parity Puzzle," 2009 Meeting Papers 328, Society for Economic Dynamics.
    5. Charles Engel, 2013. "Exchange Rates and Interest Parity," NBER Working Papers 19336, National Bureau of Economic Research, Inc.
    6. 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.
    7. 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.
    8. Daehwan Kim & Chi-Young Song, 2014. "Country Fundamentals and Currency Excess Returns," East Asian Economic Review, Korea Institute for International Economic Policy, vol. 18(2), pages 111-142.
    9. Victoria Dobrynskaya, 2014. "Downside Market Risk of Carry Trades," Review of Finance, European Finance Association, vol. 18(5), pages 1885-1913.
    10. Emmanuel Farhi & Xavier Gabaix, 2008. "Rare Disasters and Exchange Rates," NBER Working Papers 13805, National Bureau of Economic Research, Inc.
    11. 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.
    12. Aidan Corcoran, 2009. "The Determinants of Carry Trade Risk Premia," The Institute for International Integration Studies Discussion Paper Series iiisdp287, IIIS.
    13. Itskhoki, Oleg & Mukhin, Dmitry, 2021. "Exchange rate disconnect in general equilibrium," LSE Research Online Documents on Economics 112140, London School of Economics and Political Science, LSE Library.
    14. Stanislav Anatolyev & Nikolay Gospodinov & Ibrahim Jamali & Xiaochun Liu, 2015. "Foreign exchange predictability during the financial crisis: implications for carry trade profitability," FRB Atlanta Working Paper 2015-6, Federal Reserve Bank of Atlanta.
    15. Alexandra Janssen & Rahel Studer, 2014. "The Swiss franc's honeymoon," ECON - Working Papers 170, Department of Economics - University of Zurich, revised Jan 2017.
    16. Gordon Schulze, 2021. "Carry Trade Returns and Segmented Risk Pricing," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 49(1), pages 23-40, March.
    17. Kirill Shakhnov & Nicola Borri, 2017. "Limited Arbitrage in the Market for Local Currency Emerging Market Debt," 2017 Meeting Papers 737, Society for Economic Dynamics.
    18. Gourio, François & Siemer, Michael & Verdelhan, Adrien, 2013. "International risk cycles," Journal of International Economics, Elsevier, vol. 89(2), pages 471-484.
    19. 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.
    20. Byrne, Joseph P. & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2019. "Carry trades and commodity risk factors," Journal of International Money and Finance, Elsevier, vol. 96(C), pages 121-129.
    21. Victoria Dobrynskaya, 2015. "Currency Exposure to Downside Risk: Which Fundamentals Matter?," Review of International Economics, Wiley Blackwell, vol. 23(2), pages 345-360, May.
    22. Ricardo J. Caballero & Joseph B. Doyle, 2012. "Carry Trade and Systemic Risk: Why are FX Options so Cheap?," NBER Working Papers 18644, National Bureau of Economic Research, Inc.
    23. Jessica Leutert, 2018. "The Swiss franc safety premium," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 154(1), pages 1-21, December.
    24. Matthew Famiglietti & Yuliya Ivanova & Christopher J. Neely & Paul A. Weller, 2014. "Can risk explain the profitability of technical trading in currency markets?," Working Papers 2014-033, Federal Reserve Bank of St. Louis, revised 12 Jun 2020.
    25. Kerstin Bernoth & Jürgen von Hagen & Casper G. de Vries, 2020. "Currency Futures' Risk Premia and Risk Factors," Discussion Papers of DIW Berlin 1866, DIW Berlin, German Institute for Economic Research.
    26. O’Brien, Thomas J., 2022. "Cross-border valuation using the International CAPM and the constant perpetual growth model," Journal of Economics and Business, Elsevier, vol. 119(C).
    27. Zhang, Shaojun, 2022. "Dissecting currency momentum," Journal of Financial Economics, Elsevier, vol. 144(1), pages 154-173.

  13. Hanno Lustig & Stijn Van Nieuwerburgh & Adrien Verdelhan, 2008. "The Wealth-Consumption Ratio," NBER Working Papers 13896, National Bureau of Economic Research, Inc.

    Cited by:

    1. Robert E. Hall, 2016. "Macroeconomics of Persistent Slumps," NBER Working Papers 22230, National Bureau of Economic Research, Inc.
    2. Donangelo, Andres & Gourio, François & Kehrig, Matthias & Palacios, Miguel, 2019. "The cross-section of labor leverage and equity returns," Journal of Financial Economics, Elsevier, vol. 132(2), pages 497-518.
    3. Campbell, John Y. & Giglio, Stefano & Polk, Christopher & Turley, Robert, 2018. "An intertemporal CAPM with stochastic volatility," Journal of Financial Economics, Elsevier, vol. 128(2), pages 207-233.
    4. van Egmond, N.D. & de Vries, B.J.M., 2024. "Reforming the Eurozone financial system: A system-dynamics approach," International Review of Financial Analysis, Elsevier, vol. 93(C).
    5. Jonathan Berk & Johan Walden, 2010. "Limited Capital Market Participation and Human Capital Risk," NBER Working Papers 15709, National Bureau of Economic Research, Inc.
    6. Wing-Keung Wong & Riffat Mughal & Mustafa Afeef & Naveed Khan & Hassan Zada, 2026. "Human Capital Based Six-Factor Asset Pricing Model in the Era of Covid-19," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 33(1), pages 25-63, March.
    7. Aono, Kohei & 青野, 幸平 & アオノ, コウヘイ & Iwaisako, Tokuo & 祝迫, 得夫 & イワイサコ, トクオ, 2008. "The Consumption-Wealth Ratio, Real Estate Wealth, and the Japanese Stock Market," Discussion Paper Series a504, Institute of Economic Research, Hitotsubashi University.
    8. Marco Pagano, 2019. "Risk Sharing within the Firm: A Primer," CSEF Working Papers 553, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, revised 20 Sep 2020.
    9. Zhang, Han & Xiong, Xiong & Guo, Bin, 2025. "The stock return predictability of treasury bond yield in China," Journal of Empirical Finance, Elsevier, vol. 84(C).
    10. Martin Lettau & Jessica A. Wachter, 2009. "The Term Structures of Equity and Interest Rates," NBER Working Papers 14698, National Bureau of Economic Research, Inc.
    11. Berk, Jonathan B. & van Binsbergen, Jules H., 2016. "Assessing asset pricing models using revealed preference," Journal of Financial Economics, Elsevier, vol. 119(1), pages 1-23.
    12. Asriyan, Vladimir & Laeven, Luc & Martin, Alberto & Van der Ghote, Alejandro & Vanasco, Victoria, 2025. "Falling interest rates and credit reallocation: lessons from general equilibrium," Working Paper Series 3070, European Central Bank.
    13. Christian Gouriéroux & Alain Monfort & Sarah Mouabbi & Jean-Paul Renne, 2021. "Disastrous Defaults [Risk premia and term premia in general equilibrium]," Review of Finance, European Finance Association, vol. 25(6), pages 1727-1772.
    14. Ismir Mulalic & Jan Rouwendal, 2022. "Public transport investments, commuting and gentrification: Evidence from Copenhagen," Tinbergen Institute Discussion Papers 22-035/VIII, Tinbergen Institute.
    15. Alghalith, Moawia, 2018. "Pricing the American options using the Black–Scholes pricing formula," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 507(C), pages 443-445.
    16. Yang, Wei, 2011. "Long-run risk in durable consumption," Journal of Financial Economics, Elsevier, vol. 102(1), pages 45-61, October.
    17. Christian Gollier, 2026. "The welfare cost of ignoring the beta," Post-Print hal-05483623, HAL.
    18. Gabriel Vasco J. & Alexandre Fernando & Bação Pedro, 2008. "The Consumption-Wealth Ratio under Asymmetric Adjustment," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(4), pages 1-32, December.
    19. Leonid Kogan & Dimitris Papanikolaou & Noah Stoffman, 2013. "Winners and Losers: Creative Destruction and the Stock Market," NBER Working Papers 18671, National Bureau of Economic Research, Inc.
    20. Malin Gardberg & Lorenzo Pozzi, 2022. "Aggregate consumption and wealth in the long run: The impact of financial liberalization," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(1), pages 161-186, January.
    21. Ralph S.J. Koijen & Hanno Lustig & Stijn Van Nieuwerburgh, 2010. "The Cross-Section and Time-Series of Stock and Bond Returns," NBER Working Papers 15688, National Bureau of Economic Research, Inc.
    22. Rubio-Ramírez, Juan Francisco & Fernández-Villaverde, Jesús & Koijen, Ralph & van Binsbergen, Jules, 2010. "The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences," CEPR Discussion Papers 7781, C.E.P.R. Discussion Papers.
    23. Bakshi, Gurdip & Chabi-Yo, Fousseni, 2011. "Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors," Working Paper Series 2011-11, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    24. Ravi Bansal & Dana Kiku & Amir Yaron, 2009. "An Empirical Evaluation of the Long-Run Risks Model for Asset Prices," NBER Working Papers 15504, National Bureau of Economic Research, Inc.
    25. Rahul Roy & Santhakumar Shijin, 2018. "A six-factor asset pricing model," Post-Print hal-01878923, HAL.
    26. Bianchi, Francesco & Lettau, Martin & Ludvigson, Sydney, 2017. "Monetary Policy and Asset Valuation," CEPR Discussion Papers 12275, C.E.P.R. Discussion Papers.
    27. Osmani Teixeira de Carvalho Guillény & João Victor Issler & Afonso Arinos de Mello Franco-Neto, 2012. "On the Welfare Costs of Business-Cycle Fluctuations and Economic-Growth Variation in the 20th Century," Working Papers Series 284, Central Bank of Brazil, Research Department.
    28. Jaeram Lee & Jungjoon Ihm, 2018. "Financial risk exposure of returns to education: Panel evidence from Korea," Asian Economic Journal, East Asian Economic Association, vol. 32(1), pages 83-97, March.
    29. Ravi Bansal & Marcelo Ochoa, 2011. "Welfare Costs of Long-Run Temperature Shifts," NBER Working Papers 17574, National Bureau of Economic Research, Inc.
    30. Aoki, Shuhei & Kitahara, Minoru, 2008. "Measuring the Dynamic Cost of Living Index from Consumption Data," MPRA Paper 9802, University Library of Munich, Germany.
    31. Wang, Qin & Ren, Yu & Zou, Yiheng, 2016. "Uninsured expense shocks and equity premia," Economic Modelling, Elsevier, vol. 58(C), pages 64-74.
    32. Gupta, Arpit & Van Nieuwerburgh, Stijn & Kontokosta, Constantine, 2022. "Take the Q train: Value capture of public infrastructure projects," Journal of Urban Economics, Elsevier, vol. 129(C).
    33. Croce, Mariano & Nguyen, Thien & Raymond, Steve, 2019. "Persistent Government Debt and Aggregate Risk Distribution," CEPR Discussion Papers 13922, C.E.P.R. Discussion Papers.
    34. Roussanov, Nikolai, 2014. "Composition of wealth, conditioning information, and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 111(2), pages 352-380.
    35. Gomes, Francisco & Brown, Jeffrey & Fang, Chichun, 2015. "Risk and Returns to Education Over Time," CEPR Discussion Papers 10416, C.E.P.R. Discussion Papers.
    36. Antonio Falato, 2008. "Happiness maintenance and asset prices," Finance and Economics Discussion Series 2008-19, Board of Governors of the Federal Reserve System (U.S.).
    37. Rahul Roy & Santhakumar Shijin, 2018. "A six-factor asset pricing model," Papers 1810.07790, arXiv.org.
    38. Miguel Palacios, 2010. "Human Capital as an Asset Class: Implications from a General Equilibrium Model," Working Papers 2011-016, Human Capital and Economic Opportunity Working Group.
    39. George M. Constantinides & Anisha Ghosh, 2011. "Asset Pricing Tests with Long-run Risks in Consumption Growth," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 1(1), pages 96-136.
    40. Chung, Kee H. & Smith, William T. & Wu, Tao L., 2009. "Time diversification: Definitions and some closed-form solutions," Journal of Banking & Finance, Elsevier, vol. 33(6), pages 1101-1111, June.
    41. Jianfeng Yu, 2012. "Using Long-Run Consumption-Return Correlations to Test Asset Pricing Models," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 15(3), pages 317-335, October.
    42. Kozak, Serhiy, 2022. "Dynamics of bond and stock returns," Journal of Monetary Economics, Elsevier, vol. 126(C), pages 188-209.
    43. Malkhozov, Aytek & Tamoni, Andrea, 2015. "News shocks and asset prices," LSE Research Online Documents on Economics 62004, London School of Economics and Political Science, LSE Library.
    44. Roy, Rahul & Shijin, Santhakumar, 2022. "The saving, human wealth and asset pricing nexus: Evidence from around the world," Economic Systems, Elsevier, vol. 46(2).
    45. Timmermann, Allan & Farmer, Leland E. & Schmidt, Lawrence, 2018. "Pockets of Predictability," CEPR Discussion Papers 12885, C.E.P.R. Discussion Papers.
    46. Zhengyang Jiang & Hanno Lustig & Mindy Xiaolan & Stijn Van Nieuwerburgh, 2019. "Government Risk Premium Puzzle," 2019 Meeting Papers 437, Society for Economic Dynamics.
    47. Croce, M. & Nguyen, Thien T. & Raymond, S., 2021. "Persistent government debt and aggregate risk distribution," Journal of Financial Economics, Elsevier, vol. 140(2), pages 347-367.
    48. Van Nieuwerburgh, Stijn & Gupta, Arpit, 2019. "Valuing Private Equity Strip by Strip," CEPR Discussion Papers 14241, C.E.P.R. Discussion Papers.
    49. Sydney Ludvigson, 2008. "The Research Agenda: Sydney Ludvigson on Empirical Evaluation of Economic Theories of Risk Premia," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 9(2), April.
    50. Issler, João Victor & Rodrigues, Claudia Ferreira & Burjack, Rafael, 2013. "Using common features to understand the behavior of metal-commodity prices and forecast them at different horizons," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 735, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    51. De Giorgi, Enrico G. & Post, Thierry & Yalçın, Atakan, 2019. "A concave security market line," Journal of Banking & Finance, Elsevier, vol. 106(C), pages 65-81.
    52. Favero, Carlo A. & Tamoni, Andrea & Ortu, Fulvio & Yang, Haoxi, 2016. "Implications of Return Predictability across Horizons for Asset Pricing Models," CEPR Discussion Papers 11645, C.E.P.R. Discussion Papers.
    53. Narayan Bulusu & Jefferson Duarte & Carles Vergara-Alert, 2016. "Can the Common-Factor Hypothesis Explain the Observed Housing Wealth Effect?," Staff Working Papers 16-62, Bank of Canada.
    54. Stijn Van Nieuwerburgh & Hanno Lustig & Ralph S.J. Koijen, 2009. "The Bond Risk Premium and the Cross-Section of Equity Returns," 2009 Meeting Papers 12, Society for Economic Dynamics.
    55. Julian Thimme, 2017. "Intertemporal Substitution In Consumption: A Literature Review," Journal of Economic Surveys, Wiley Blackwell, vol. 31(1), pages 226-257, February.

  14. George Jiang & Ingrid Lo & Adrien Verdelhan, 2008. "Information Shocks, Jumps, and Price Discovery -- Evidence from the U.S. Treasury Market," Staff Working Papers 08-22, Bank of Canada.

    Cited by:

    1. Jean-Yves Gnabo & J�rôme Lahaye & S�bastien Laurent & Christelle Lecourt, 2012. "Do jumps mislead the FX market?," Quantitative Finance, Taylor & Francis Journals, vol. 12(10), pages 1521-1532, October.
    2. M. Fr Mmel & X. Han & F. Van Gysegem, 2013. "News, Liquidity Dynamics and Intraday Jumps: Evidence from the HUF/EUR market," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 13/848, Ghent University, Faculty of Economics and Business Administration.
    3. Boudt, Kris & Croux, Christophe & Laurent, Sébastien, 2011. "Robust estimation of intraweek periodicity in volatility and jump detection," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 353-367, March.
    4. Bjursell, Johan & Gentle, James E. & Wang, George H.K., 2015. "Inventory announcements, jump dynamics, volatility and trading volume in U.S. energy futures markets," Energy Economics, Elsevier, vol. 48(C), pages 336-349.

  15. Hanno Lustig & Nikolai Roussanov & Adrien Verdelhan, 2008. "Common Risk Factors in Currency Markets," NBER Working Papers 14082, National Bureau of Economic Research, Inc.

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    1. Park, Sunjin, 2022. "Heterogeneous beliefs in macroeconomic growth prospects and the carry risk premium," Journal of Banking & Finance, Elsevier, vol. 136(C).
    2. Rossi, José Luiz Júnior, 2013. "Liquidity and Exchange Rates," Insper Working Papers wpe_325, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
    3. Lu, Wenna & Copeland, Laurence & Xu, Yongdeng, 2021. "The Pricing of Unexpected Volatility in the Currency Market," Cardiff Economics Working Papers E2021/16, Cardiff University, Cardiff Business School, Economics Section.
    4. Ramirez-Rondan, N.R. & Terrones, Marco E., 2019. "Uncertainty and the Uncovered Interest Parity Condition: How Are They Related?," MPRA Paper 97524, University Library of Munich, Germany.
    5. Gavazzoni, Federico & Santacreu, Ana Maria, 2020. "International R&D spillovers and asset prices," Journal of Financial Economics, Elsevier, vol. 136(2), pages 330-354.
    6. Beber, Alessandro & Brandt, Michael, 2014. "Switching Risk Off: FX Correlations and Risk Premia," CEPR Discussion Papers 10214, C.E.P.R. Discussion Papers.
    7. Iwanaga, Yasuhiro & Sakemoto, Ryuta, 2025. "Conditional currency momentum portfolios," International Review of Financial Analysis, Elsevier, vol. 99(C).
    8. Stephanie E. Curcuru & Charles P. Thomas & Francis E. Warnock & Jon Wongswan, 2014. "Uncovered Equity Parity and Rebalancing in International Portfolios," International Finance Discussion Papers 1103, Board of Governors of the Federal Reserve System (U.S.).
    9. Cañon, Carlos & Gerba, Eddie & Pambira, Alberto & Stoja, Evarist, 2024. "An unconventional FX tail risk story," Journal of International Money and Finance, Elsevier, vol. 148(C).
    10. 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.
    11. Dai, Yixin & Yu, Cong & Xu, Xiangyun & Zhou, Jindie & Teng, Fengfan, 2024. "The macro driving factors of co-movement of RMB with other currencies in FX markets," International Review of Financial Analysis, Elsevier, vol. 96(PA).
    12. Morten Risstad & Airin Thodesen & Kristian August Thune & Sjur Westgaard, 2023. "On the Exchange Rate Dynamics of the Norwegian Krone," JRFM, MDPI, vol. 16(7), pages 1-18, June.
    13. Stijn Claessens & M Ayhan Kose, 2018. "Frontiers of macrofinancial linkages," BIS Papers, Bank for International Settlements, number 95.
    14. Della Corte, Pasquale & Ramadorai, Tarun & Sarno, Lucio, 2016. "Volatility risk premia and exchange rate predictability," Journal of Financial Economics, Elsevier, vol. 120(1), pages 21-40.
    15. Mario Cerrato & Zhekai Zhang, 2019. "Can we predict currency momentum crashes?," Working Papers 2019_12, Business School - Economics, University of Glasgow.
    16. Ivelina Pavlova & Maria E. de Boyrie, 2015. "Carry Trades and Sovereign CDS Spreads: Evidence from Asia‐Pacific Markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 35(11), pages 1067-1087, November.
    17. Kroencke, Tim A. & Schindler, Felix, 2012. "International diversification with securitized real estate and the veiling glare from currency risk," Journal of International Money and Finance, Elsevier, vol. 31(7), pages 1851-1866.
    18. Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas, 2012. "Currency momentum strategies," Journal of Financial Economics, Elsevier, vol. 106(3), pages 660-684.
    19. Pagnottoni, Paolo & Spelta, Alessandro, 2024. "Hedging global currency risk: A dynamic machine learning approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 649(C).
    20. 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.
    21. Raheem, Ibrahim, 2020. "Global financial cycles and exchange rate forecast: A factor analysis," MPRA Paper 105358, University Library of Munich, Germany.
    22. Albert S. (Pete) & Karamfil Todorov, 2023. "The cumulant risk premium," BIS Working Papers 1128, Bank for International Settlements.
    23. Semyon Malamud & Andreas Schrimpf, 2018. "An intermediation-based model of exchange rates," BIS Working Papers 743, Bank for International Settlements.
    24. Gordon Y. Liao & Tony Zhang, 2020. "The Hedging Channel of Exchange Rate Determination," International Finance Discussion Papers 1283, Board of Governors of the Federal Reserve System (U.S.).
    25. David R. Haab & Thomas Nitschka, 2020. "Carry trade and forward premium puzzle from the perspective of a safe‐haven currency," Review of International Economics, Wiley Blackwell, vol. 28(2), pages 376-394, May.
    26. Matteo Maggiori, 2013. "The U.S. Dollar Safety Premium," 2013 Meeting Papers 75, Society for Economic Dynamics.
    27. Egbers, Tom & Swinkels, Laurens, 2015. "Can implied volatility predict returns on the currency carry trade?," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 14-26.
    28. Ian Hudson, 2016. "The Currency Carry Trade: Selection Skill or Behavioral Bias," International Business Research, Canadian Center of Science and Education, vol. 9(9), pages 176-185, September.
    29. Byrne, Joseph P. & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2022. "The time-varying risk price of currency portfolios," Journal of International Money and Finance, Elsevier, vol. 124(C).
    30. Croce, Mariano & Colacito, Ric & Liu, Yang & Shaliastovich, Ivan, 2018. "Volatility Risk Pass-Through," CEPR Discussion Papers 13325, C.E.P.R. Discussion Papers.
    31. 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.
    32. Adrien Verdelhan, 2012. "The Share of Systematic Variation in Bilateral Exchange Rates," 2012 Meeting Papers 763, Society for Economic Dynamics.
    33. Hou, Ai Jun & Sarno, Lucio & Ye, Xiaoxia, 2025. "The trade imbalance network and currency returns," Journal of Financial Economics, Elsevier, vol. 172(C).
    34. Campbell, John Y. & Giglio, Stefano & Polk, Christopher & Turley, Robert, 2018. "An intertemporal CAPM with stochastic volatility," Journal of Financial Economics, Elsevier, vol. 128(2), pages 207-233.
    35. Mathias Hoffmann & Toshihiro Okubo, 2021. "Comparative advantage and pathways to financial development: evidence from Japan’s silk-reeling industry," IEW - Working Papers 387, Institute for Empirical Research in Economics - University of Zurich.
    36. Sakemoto, Ryuta, 2019. "Currency carry trades and the conditional factor model," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 198-208.
    37. Lei Pan & Svetlana Maslyuk-Escobedo & Vinod Mishra, 2019. "Carry Trade Returns and Commodity Prices under Capital and Interest Rate Controls: Empirical Evidence from China," Monash Economics Working Papers 16-18, Monash University, Department of Economics.
    38. Mario Cerrato & Danyang Li & Zhekai Zhang, 2020. "Factor Investing and forex Portfolio Management," Working Papers 2020_01, Business School - Economics, University of Glasgow.
    39. Jacob Gyntelberg & Andreas Schrimpf, 2011. "FX strategies in periods of distress," BIS Quarterly Review, Bank for International Settlements, December.
    40. Stig V. Møller & Jesper Rangvid, 2018. "Global Economic Growth and Expected Returns Around the World: The End-of-the-Year Effect," Management Science, INFORMS, vol. 64(2), pages 573-591, February.
    41. Igor Martins & Hedibert Freitas Lopes, 2024. "What events matter for exchange rate volatility ?," Papers 2411.16244, arXiv.org.
    42. Bekaert, Geert & De Santis, Roberto A., 2021. "Risk and return in international corporate bond markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
    43. Steven Riddiough & Lucio Sarno & Pasquale Della Corte, 2015. "Currency Premia and Global Imbalances," 2015 Meeting Papers 1215, Society for Economic Dynamics.
    44. Franziska Hünnekes & Maximilian Konradt & Moritz Schularick & Christoph Trebesch & Julian Wingenbach, 2025. "Exportweltmeister: Germany’s Foreign Investment Returns in International Comparison," Post-Print hal-05448425, HAL.
    45. Choi, Jin Ho & Suh, Sangwon, 2021. "A filtered currency carry trade," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    46. Darvas, Zsolt, 2009. "Leveraged carry trade portfolios," Journal of Banking & Finance, Elsevier, vol. 33(5), pages 944-957, May.
    47. Michael Jetter & Alex Nikolsko-Rzhevskyy & Olena Ogrokhina, 2019. "Can policy shifts explain the forward discount puzzle?," Empirical Economics, Springer, vol. 57(6), pages 1891-1909, December.
    48. Giovanni Calice & Ming Zeng, 2021. "The term structure of sovereign credit default swap and the cross‐section of exchange rate predictability," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 445-458, January.
    49. Colacito, Riccardo & Riddiough, Steven J. & Sarno, Lucio, 2020. "Business cycles and currency returns," Journal of Financial Economics, Elsevier, vol. 137(3), pages 659-678.
    50. Kunkler, Michael & MacDonald, Ronald, 2016. "Idiosyncratic variation of the US Dollar," Economics Letters, Elsevier, vol. 144(C), pages 7-9.
    51. Adrian, Tobias & Xie, Peichu, 2020. "The Non-U.S. Bank Demand for U.S. Dollar Assets," CEPR Discussion Papers 14437, C.E.P.R. Discussion Papers.
    52. Elkamhi, Redouane & Jo, Chanik, 2023. "Asset holders’ consumption risk and tests of conditional CCAPM," Journal of Financial Economics, Elsevier, vol. 148(3), pages 220-244.
    53. Benedikt Ballensiefen & Angelo Ranaldo, 2019. "Safe Asset Carry Trade," Working Papers on Finance 1909, University of St. Gallen, School of Finance, revised Oct 2019.
    54. Galvez, Julio & Gambacorta, Leonardo & Mayordomo, Sergio & Serena, Jose Maria, 2021. "Dollar borrowing, firm credit risk, and FX-hedged funding opportunities," Journal of Corporate Finance, Elsevier, vol. 68(C).
    55. Cavallino, Paolo & Sandri, Damiano, 2023. "The open-economy ELB: Contractionary monetary easing and the trilemma," Journal of International Economics, Elsevier, vol. 140(C).
    56. Beckmann, Joscha & Kerkemeier, Marco & Kruse-Becher, Robinson, 2025. "Regime-specific exchange rate predictability," Journal of Economic Dynamics and Control, Elsevier, vol. 176(C).
    57. Valentin Haddad & Serhiy Kozak & Shrihari Santosh, 2017. "Predicting Relative Returns," NBER Working Papers 23886, National Bureau of Economic Research, Inc.
    58. Frankel, Jeffrey & Poonawala, Jumana, 2010. "The forward market in emerging currencies: Less biased than in major currencies," Journal of International Money and Finance, Elsevier, vol. 29(3), pages 585-598, April.
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    13. Tavares, José & Cavalcanti, Tiago, 2007. "The Output Cost of Gender Discrimination: A Model-Based Macroeconomic Estimate," CEPR Discussion Papers 6477, C.E.P.R. Discussion Papers.
    14. Jonathan B. Berk & Johan Walden, 2013. "Limited Capital Market Participation and Human Capital Risk," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 3(1), pages 1-37.
    15. Ludvigson, Sydney C., 2013. "Advances in Consumption-Based Asset Pricing: Empirical Tests," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 799-906, Elsevier.

  17. Hanno Lustig & Adrien Verdelhan, 2005. "Investing in Foreign Currency is like Betting on your Intertemporal Marginal Rate of Substitution," Boston University - Department of Economics - Working Papers Series WP2005-040, Boston University - Department of Economics.

    Cited by:

    1. Varela, Liliana & Salomao, Juliana, 2018. "Exchange Rate Exposure and Firm Dynamics," CEPR Discussion Papers 12654, C.E.P.R. Discussion Papers.
    2. Costa, Carlos Eugênio da & Issler, João Victor & Matos, Paulo Rogério Faustino, 2010. "The forward- and the equity-premium puzzles: two symptoms of the same illness?," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 712, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    3. 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.
    4. Craig Burnside & Mario Cerrato & Zhekai Zhang, 2020. "Foreign Exchange Order Flow as a Risk Factor," NBER Working Papers 27199, National Bureau of Economic Research, Inc.
    5. Mohammadreza Tavakoli Baghdadabad & Girijasankar Mallik, 2021. "Market news co-moments and currency returns," Empirical Economics, Springer, vol. 61(4), pages 1819-1863, October.
    6. Grisse, Christian & Nitschka, Thomas, 2015. "On financial risk and the safe haven characteristics of Swiss franc exchange rates," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 153-164.
    7. Costa, Carlos Eugênio da & Issler, João Victor & Matos, Paulo Rogério Faustino, 2013. "The forward and the equity-premium puzzles: a straightforward test of whether they are two symptoms of the same illness," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 738, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    8. 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.
    9. Hanno Lustig & Adrien Verdelhan, 2009. "Comment on "Carry Trades and Currency Crashes"," NBER Chapters, in: NBER Macroeconomics Annual 2008, Volume 23, pages 361-384, National Bureau of Economic Research, Inc.
    10. Costa, Carlos Eugênio da & Issler, João Victor & Matos, Paulo Rogério Faustino, 2013. "A note on the forward and the equity-premium puzzles: two symptoms of the same illness?," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 743, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).

  18. 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.

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    1. Sarno, Lucio & Della Corte, Pasquale & Tsiakas, Ilias, 2010. "Spot and Forward Volatility in Foreign Exchange," CEPR Discussion Papers 7893, C.E.P.R. Discussion Papers.
    2. Leibovici, Fernando & Waugh, Michael E., 2019. "International trade and intertemporal substitution," Journal of International Economics, Elsevier, vol. 117(C), pages 158-174.
    3. Ramirez-Rondan, N.R. & Terrones, Marco E., 2019. "Uncertainty and the Uncovered Interest Parity Condition: How Are They Related?," MPRA Paper 97524, University Library of Munich, Germany.
    4. Lewis, Karen K. & Liu, Edith X., 2017. "Disaster risk and asset returns: An international perspective," Journal of International Economics, Elsevier, vol. 108(S1), pages 42-58.
    5. Gavazzoni, Federico & Santacreu, Ana Maria, 2020. "International R&D spillovers and asset prices," Journal of Financial Economics, Elsevier, vol. 136(2), pages 330-354.
    6. Horvath, Jaroslav, 2020. "Macroeconomic disasters and the equity premium puzzle: Are emerging countries riskier?," Journal of Economic Dynamics and Control, Elsevier, vol. 112(C).
    7. Karen K. Lewis, 2011. "Global Asset Pricing," NBER Working Papers 17261, National Bureau of Economic Research, Inc.
    8. Javier Bianchi & Saki Bigio & Charles Engel, 2022. "Scrambling for Dollars: International Liquidity, Banks and Exchange Rates," Working Papers 182, Peruvian Economic Association.
    9. Semyon Malamud & Andreas Schrimpf, 2018. "An intermediation-based model of exchange rates," BIS Working Papers 743, Bank for International Settlements.
    10. Michael Jetter & Alex Nikolsko-Rzhevskyy, 2013. "Monetary Policy Shifts and the Forward Discount Puzzle," Documentos de Trabajo de Valor Público 10729, Universidad EAFIT.
    11. Moore, Michael J. & Roche, Maurice J., 2010. "Solving exchange rate puzzles with neither sticky prices nor trade costs," Journal of International Money and Finance, Elsevier, vol. 29(6), pages 1151-1170, October.
    12. M. Utku Ozmen & Erdal Yilmaz, 2016. "Co-movement of Exchange Rates with Interest Rate Differential, Risk Premium and FED Policy in �Fragile Economies�," Working Papers 1621, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    13. Croce, Mariano & Colacito, Ric & Liu, Yang & Shaliastovich, Ivan, 2018. "Volatility Risk Pass-Through," CEPR Discussion Papers 13325, C.E.P.R. Discussion Papers.
    14. Oleg Itskhoki & Dmitry Mukhin, 2025. "What Drives the Exchange Rate?," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 73(1), pages 86-117, March.
    15. Jair N. Ojeda-Joya & Gloria Sarmiento, 2016. "Sovereign Risk and the Real Exchange Rate: A Non-Linear Approach," Borradores de Economia 970, Banco de la Republica de Colombia.
    16. Baillie, Richard T. & Cho, Dooyeon, 2014. "Time variation in the standard forward premium regression: Some new models and tests," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 52-63.
    17. Taylor, Mark & Xu, Qi & Kozhan, Roman, 2020. "Prospect Theory and Currency Returns: Empirical Evidence," CEPR Discussion Papers 15306, C.E.P.R. Discussion Papers.
    18. Craig Burnside & Bing Han & David Hirshleifer & Tracy Yue Wang, 2010. "Investor Overconfidence and the Forward Premium Puzzle," NBER Working Papers 15866, National Bureau of Economic Research, Inc.
    19. 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.
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    21. John H. Cochrane, 2016. "The Habit Habit," Economics Working Papers 16105, Hoover Institution, Stanford University.
    22. Zhou, Y., 2014. "Essays on habit formation and inflation hedging," Other publications TiSEM 4886da12-1b84-4fd9-aa07-3, Tilburg University, School of Economics and Management.
    23. Francis Breedon & Dagfinn Rime & Paolo Vital, 2010. "A Transaction Data Study of the Forward Bias Puzzle," Working Paper 2010/26, Norges Bank.
    24. Sarno, Lucio & Schneider, Paul & Wagner, Christian, 2012. "Properties of foreign exchange risk premiums," Journal of Financial Economics, Elsevier, vol. 105(2), pages 279-310.
    25. Sarita Bunsupha, 2018. "Extrapolative Beliefs and Exchange Rate Markets," PIER Discussion Papers 84, Puey Ungphakorn Institute for Economic Research.
    26. Cosmin Ilut, 2009. "Ambiguity Aversion: Implications For The Uncovered Interest Rate Parity Puzzle," 2009 Meeting Papers 328, Society for Economic Dynamics.
    27. Shehadeh, Ali A. & Li, Youwei & Vigne, Samuel A. & Almaharmeh, Mohammad I. & Wang, Yizhi, 2021. "The existence and severity of the forward premium puzzle during tranquil and turbulent periods: Developed versus developing country currencies," International Review of Financial Analysis, Elsevier, vol. 78(C).
    28. Zhang, Qian & Li, Zeguang, 2021. "Time-varying risk attitude and the foreign exchange market behavior," Research in International Business and Finance, Elsevier, vol. 57(C).
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    6. 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.
    7. Enisse Kharroubi & Fabrizio Zampolli, 2016. "Monetary independence in a financially integrated world: what do measures of interest rate co-movement tell us?," BIS Papers chapters, in: Bank for International Settlements (ed.), Expanding the boundaries of monetary policy in Asia and the Pacific, volume 88, pages 193-205, Bank for International Settlements.
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    Cited by:

    1. CASTRO, Rui & CLEMENTI, Gian Luca, 2009. "The Economic Effects of Improving Investor Rights in Portugal," Cahiers de recherche 08-2009, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
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    3. Frankel, Jeffrey & Poonawala, Jumana, 2010. "The forward market in emerging currencies: Less biased than in major currencies," Journal of International Money and Finance, Elsevier, vol. 29(3), pages 585-598, April.
    4. Bank for International Settlements, 2015. "Currency carry trades in Latin America," BIS Papers, Bank for International Settlements, number 81.
    5. Hanno Lustig & Adrien Verdelhan, 2011. "The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: Reply," American Economic Review, American Economic Association, vol. 101(7), pages 3477-3500, December.
    6. Beber, Alessandro & Breedon, Francis & Buraschi, Andrea, 2010. "Differences in beliefs and currency risk premiums," Journal of Financial Economics, Elsevier, vol. 98(3), pages 415-438, December.
    7. Wagner, Christian, 2009. "Risk-Premia, Carry-Trade Dynamics, and Economic Value of Currency Speculation," MPRA Paper 21125, University Library of Munich, Germany.
    8. Sarno, Lucio & Schneider, Paul & Wagner, Christian, 2010. "Properties of Foreign Exchange Risk Premia," MPRA Paper 21302, University Library of Munich, Germany.
    9. Daniel Kohler, 2007. "Carry Trades: Betting Against Safe Haven," University of St. Gallen Department of Economics working paper series 2007 2007-12, Department of Economics, University of St. Gallen.
    10. Cheong, Calvin W.H. & Sinnakkannu, Jothee & Ramasamy, Sockalingam, 2017. "On the predictability of carry trade returns: The case of the Chinese Yuan," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 358-376.
    11. Sarno, Lucio & Schneider, Paul & Wagner, Christian, 2011. "Properties of Foreign Exchange Risk Premiums," CEPR Discussion Papers 8503, C.E.P.R. Discussion Papers.
    12. Fernando Alvarez & Andrew Atkeson & Patrick J. Kehoe, 2008. "Time-varying risk, interest rates, and exchange rates in general equilibrium," Staff Report 371, Federal Reserve Bank of Minneapolis.
    13. Pierre Perron† & Tatsuma Wada, 2005. "Let’s Take a Break: Trends and Cycles in US Real GDP?," Boston University - Department of Economics - Working Papers Series WP2005-031, Boston University - Department of Economics, revised Oct 2005.
    14. Hanno Lustig, 2005. "Investing in Foreign Currency is like Betting on your Intertemporal Marginal Rate of Substitution (joint with Adrien Verdelhan, BU, forthcoming in Papers and Proceedings JEEA)," UCLA Economics Online Papers 368, UCLA Department of Economics.
    15. Della Corte, Pasquale & Sarno, Lucio & Tsiakas, Ilias, 2011. "Spot and forward volatility in foreign exchange," Journal of Financial Economics, Elsevier, vol. 100(3), pages 496-513, June.

Articles

  1. Adrien Verdelhan, 2018. "The Share of Systematic Variation in Bilateral Exchange Rates," Journal of Finance, American Finance Association, vol. 73(1), pages 375-418, February.
    See citations under working paper version above.
  2. Wenxin Du & Alexander Tepper & Adrien Verdelhan, 2018. "Deviations from Covered Interest Rate Parity," Journal of Finance, American Finance Association, vol. 73(3), pages 915-957, June.
    See citations under working paper version above.
  3. Lustig, Hanno & Roussanov, Nikolai & Verdelhan, Adrien, 2014. "Countercyclical currency risk premia," Journal of Financial Economics, Elsevier, vol. 111(3), pages 527-553.
    See citations under working paper version above.
  4. Gourio, François & Siemer, Michael & Verdelhan, Adrien, 2013. "International risk cycles," Journal of International Economics, Elsevier, vol. 89(2), pages 471-484.
    See citations under working paper version above.
  5. Hanno Lustig & Stijn Van Nieuwerburgh & Adrien Verdelhan, 2013. "The Wealth-Consumption Ratio," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 3(1), pages 38-94.
    See citations under working paper version above.
  6. Lustig, Hanno & Verdelhan, Adrien, 2012. "Business cycle variation in the risk-return trade-off," Journal of Monetary Economics, Elsevier, vol. 59(S), pages 35-49.

    Cited by:

    1. Krainer, Robert E., 2017. "Economic stability under alternative banking systems: Theory and policy," Journal of Financial Stability, Elsevier, vol. 31(C), pages 107-118.
    2. Ahn, Dong-Hyun & Min, Byoung-Kyu & Yoon, Bohyun, 2019. "Why has the size effect disappeared?," Journal of Banking & Finance, Elsevier, vol. 102(C), pages 256-276.
    3. Saki Bigio & Eduardo Zilberman, 2020. "Speculation-driven Business Cycles," Working Papers 161, Peruvian Economic Association.
    4. Frazier, David T. & Liu, Xiaochun, 2016. "A new approach to risk-return trade-off dynamics via decomposition," Journal of Economic Dynamics and Control, Elsevier, vol. 62(C), pages 43-55.
    5. Olivier Courtois & Xia Xu, 2024. "Efficient portfolios and extreme risks: a Pareto–Dirichlet approach," Annals of Operations Research, Springer, vol. 335(1), pages 261-292, April.
    6. John Cotter & Enrique Salvador, 2014. "The non-linear trade-off between return and risk: a regime-switching multi-factor framework," Working Papers 201414, Geary Institute, University College Dublin.
    7. Min Jeong Kim & Dohyoung Kwon, 2023. "Dynamic asset allocation strategy: an economic regime approach," Journal of Asset Management, Palgrave Macmillan, vol. 24(2), pages 136-147, March.
    8. Alfonso Mendoza Velazquez & Peter N. Smith, 2013. "Equity Returns and the Business Cycle: The Role of Supply and Demand Shocks," CAMA Working Papers 2013-22, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    9. Michael Weber, 2014. "Nominal Rigidities and Asset Pricing," 2014 Meeting Papers 53, Society for Economic Dynamics.
    10. Nektarios Aslanidis & Charlotte Christiansen & Neophytos Lambertides & Christos S. Savva, 2014. "Idiosyncratic Volatility Puzzle: Influence of Macro-Finance Factors," CREATES Research Papers 2014-45, Department of Economics and Business Economics, Aarhus University.
    11. Bustamante, Maria Cecilia & Zucchi, Francesca, 2023. "Innovation, industry equilibrium, and discount rates," Working Paper Series 2835, European Central Bank.
    12. Agnieszka Markiewicz & Rafal Raciborski, 2022. "Income Inequality and Stock Market Returns," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 43, pages 286-307, January.
    13. Salvador, Enrique & Floros, Christos & Arago, Vicent, 2014. "Re-examining the risk–return relationship in Europe: Linear or non-linear trade-off?," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 60-77.
    14. Nyberg, Henri & Savva, Christos S., 2026. "Risk-return trade-off in international stock returns: Skewness and business cycles," Econometrics and Statistics, Elsevier, vol. 37(C), pages 42-60.
    15. He, Chao & Fan, Xiaodong, 2024. "The paradox of search intensity," Journal of Economic Theory, Elsevier, vol. 221(C).
    16. Jonathan Iworiso & Spyridon Vrontos, 2020. "On the directional predictability of equity premium using machine learning techniques," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(3), pages 449-469, April.
    17. Andrés Mauricio Gómez Sánchez & Jos� Gabriel Astaiza G�mez, 2013. "Ciclo económico y prima por riesgo en el mercado accionario colombiano," Revista Ecos de Economía, Universidad EAFIT.
    18. Barroso, Pedro & Maio, Paulo, 2024. "The risk–return tradeoff among equity factors," Journal of Empirical Finance, Elsevier, vol. 78(C).
    19. Cho, Jin-Wan & Choi, Joung Hwa & Kim, Taeyong & Kim, Woojin, 2016. "Flight-to-quality and correlation between currency and stock returns," Journal of Banking & Finance, Elsevier, vol. 62(C), pages 191-212.
    20. Mönch, Emanuel & Stein, Tobias, 2021. "Equity premium predictability over the business cycle," Discussion Papers 25/2021, Deutsche Bundesbank.
    21. Fabian Irek & Thorsten Lehnert, 2013. "Do Fund Investors Know that Risk is Sometimes not Priced?," DEM Discussion Paper Series 13-1, Department of Economics at the University of Luxembourg.
    22. Andrés Mauricio Gómez Sánchez & Jos� Gabriel Astaiza G�mez, 2015. "Ex-post Equity Risk Premiums and Economic Cycles in Colombia: An Empirical Research Using Kalman and Hodrick-Prescott Filters," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, vol. 7(1), pages 109-129.
    23. Mihai, Marius M., 2022. "The commercial bank leverage factor in U.S. asset prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 156-171.
    24. Dou, Winston Wei & Ji, Yan & Wu, Wei, 2021. "Competition, profitability, and discount rates," Journal of Financial Economics, Elsevier, vol. 140(2), pages 582-620.
    25. Fabian Irek & Thorsten Lehnert, 2013. "Do Fund Investors Know that Risk is Sometimes not Priced?," LSF Research Working Paper Series 13-1, Luxembourg School of Finance, University of Luxembourg.
    26. Johannes Poeschl & Ram Yamarthy, 2022. "Aggregate Risk in the Term Structure of Corporate Credit," Working Papers 22-02, Office of Financial Research, US Department of the Treasury.
    27. Hall, R.E., 2016. "Macroeconomics of Persistent Slumps," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 2131-2181, Elsevier.
    28. Zhang, Chu & Zhao, Shen, 2023. "The macroeconomic announcement premium and information environment," Journal of Monetary Economics, Elsevier, vol. 139(C), pages 55-73.
    29. Alan Moreira & Tyler Muir, 2016. "Volatility Managed Portfolios," NBER Working Papers 22208, National Bureau of Economic Research, Inc.
    30. Liu, Xiaochun, 2017. "Can macroeconomic dynamics explain the time variation of risk–return trade-offs in the U.S. financial market?," The Quarterly Review of Economics and Finance, Elsevier, vol. 66(C), pages 275-293.
    31. Aslanidis, Nektarios & Christiansen, Charlotte & Savva, Christos S., 2016. "Risk-return trade-off for European stock markets," International Review of Financial Analysis, Elsevier, vol. 46(C), pages 84-103.
    32. Nick Taylor, 2023. "The Determinants of Volatility Timing Performance," Journal of Financial Econometrics, Oxford University Press, vol. 21(4), pages 1228-1257.
    33. Tyler Muir, 2017. "Financial Crises and Risk Premia," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 132(2), pages 765-809.
    34. Siddiqi, Hammad, 2011. "Thinking by analogy, systematic risk, and option prices," MPRA Paper 31316, University Library of Munich, Germany.
    35. Cenesizoglu, Tolga, 2022. "Return decomposition over the business cycle," Journal of Banking & Finance, Elsevier, vol. 143(C).
    36. Chava, Sudheer & Hsu, Alex & Zeng, Linghang, 2020. "Does history repeat itself? Business cycle and industry returns," Journal of Monetary Economics, Elsevier, vol. 116(C), pages 201-218.
    37. Kroencke, Tim A., 2022. "Recessions and the stock market," Journal of Monetary Economics, Elsevier, vol. 131(C), pages 61-77.

  7. 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.
    See citations under working paper version above.
  8. Hanno Lustig & Adrien Verdelhan, 2011. "The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: Reply," American Economic Review, American Economic Association, vol. 101(7), pages 3477-3500, December.
    See citations under working paper version above.
  9. Jiang, George J. & Lo, Ingrid & Verdelhan, Adrien, 2011. "Information Shocks, Liquidity Shocks, Jumps, and Price Discovery: Evidence from the U.S. Treasury Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 46(2), pages 527-551, April.

    Cited by:

    1. Thorsten Lehnert, 2019. "Asset pricing implications of good governance," PLOS ONE, Public Library of Science, vol. 14(4), pages 1-14, April.
    2. Dungey, Mardi & Henry, Olan & McKenzie, Michael, 2010. "From Trade-to-Trade in US Treasuries," Working Papers 10446, University of Tasmania, Tasmanian School of Business and Economics, revised 01 May 2010.
    3. Paiardini, Paola, 2014. "The impact of economic news on bond prices: Evidence from the MTS platform," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 302-322.
    4. Chan, Kam Fong & Bowman, Robert G. & Neely, Christopher J., 2017. "Systematic cojumps, market component portfolios and scheduled macroeconomic announcements," Journal of Empirical Finance, Elsevier, vol. 43(C), pages 43-58.
    5. Gilder, Dudley & Shackleton, Mark B. & Taylor, Stephen J., 2014. "Cojumps in stock prices: Empirical evidence," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 443-459.
    6. Sonya Zhu, 2023. "Volume dynamics around FOMC announcements," BIS Working Papers 1079, Bank for International Settlements.
    7. Kuttu, Saint, 2017. "Time-varying conditional discrete jumps in emerging African equity markets," Global Finance Journal, Elsevier, vol. 32(C), pages 35-54.
    8. Dungey, Mardi & Henry, Olan T & Hvodzdyk, Lyudmyla, 2013. "The impact of jumps and thin trading on realized hedge ratios," Working Papers 2013-02, University of Tasmania, Tasmanian School of Business and Economics, revised 28 Mar 2013.
    9. Gozluklu, Arie E., 2016. "Pre-trade transparency and informed trading: Experimental evidence on undisclosed orders," Journal of Financial Markets, Elsevier, vol. 28(C), pages 91-115.
    10. Gao, Ya & Han, Xing & Li, Youwei & Xiong, Xiong, 2019. "Overnight Momentum, Informational Shocks, and Late-Informed Trading in China," MPRA Paper 96784, University Library of Munich, Germany.
    11. George Kapetanios & Michael Neumann & George Skiadopoulos, 2014. "Jumps in Option Prices and Their Determinants: Real-time Evidence from the E-mini S&P 500 Option Market," Working Papers 730, Queen Mary University of London, School of Economics and Finance.
    12. Kim Christensen & Ulrich Hounyo & Mark Podolskij, 2017. "Is the diurnal pattern sufficient to explain the intraday variation in volatility? A nonparametric assessment," CREATES Research Papers 2017-30, Department of Economics and Business Economics, Aarhus University.
    13. Dungey, Mardi & Erdemlioglu, Deniz & Matei, Marius & Yang, Xiye, 2018. "Testing for mutually exciting jumps and financial flights in high frequency data," Journal of Econometrics, Elsevier, vol. 202(1), pages 18-44.
    14. Ron Alquist & Reinhard Ellwanger & Jianjian Jin, 2020. "The effect of oil price shocks on asset markets: Evidence from oil inventory news," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(8), pages 1212-1230, August.
    15. Kuttu, Saint & Aboagye, Anthony Q.Q. & Bokpin, Godfred A., 2018. "Evidence of time-varying conditional discrete jump dynamics in sub-Saharan African foreign exchange markets," Research in International Business and Finance, Elsevier, vol. 46(C), pages 211-226.
    16. Doureige J. Jurdi, 2020. "Intraday Jumps, Liquidity, and U.S. Macroeconomic News: Evidence from Exchange Traded Funds," JRFM, MDPI, vol. 13(6), pages 1-19, June.
    17. Li, Jie & Li, Guangzhong & Zhou, Yinggang, 2015. "Do securitized real estate markets jump? International evidence," Pacific-Basin Finance Journal, Elsevier, vol. 31(C), pages 13-35.
    18. Indriawan, Ivan, 2020. "Market quality around macroeconomic news announcements: Evidence from the Australian stock market," Pacific-Basin Finance Journal, Elsevier, vol. 61(C).
    19. Piccotti, Louis R., 2018. "Jumps, cojumps, and efficiency in the spot foreign exchange market," Journal of Banking & Finance, Elsevier, vol. 87(C), pages 49-67.
    20. Sevcan Uzun & Ahmet Sensoy & Duc Khuong Nguyen, 2023. "Jump forecasting in foreign exchange markets: A high‐frequency analysis," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(3), pages 578-624, April.
    21. Li, Guangzhong & Zhu, Jiaqing & Li, Jie, 2016. "Understanding bilateral exchange rate risks," Journal of International Money and Finance, Elsevier, vol. 68(C), pages 103-129.
    22. Dungey, Mardi & Hvozdyk, Lyudmyla, 2010. "Cojumping: Evidence from the US Treasury Bond and Future Markets (Discussion Paper 2010-06)," Working Papers 10450, University of Tasmania, Tasmanian School of Business and Economics, revised 14 Jul 2010.
    23. Tim Bollerslev & Jia Li & Yuan Xue, 2018. "Volume, Volatility, and Public News Announcements," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 85(4), pages 2005-2041.
    24. Zhu, Jiaqing, 2019. "External financial liabilities and real exchange rate jumps," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 202-220.
    25. Sun, Zhuowei & Dunne, Peter G. & Li, Youwei, 2015. "Price discovery in the dual-platform US Treasury market," Global Finance Journal, Elsevier, vol. 28(C), pages 95-110.
    26. Cui, Xin & Sensoy, Ahmet & Nguyen, Duc Khuong & Yao, Shouyu & Wu, Yiyao, 2022. "Positive information shocks, investor behavior and stock price crash risk," Journal of Economic Behavior & Organization, Elsevier, vol. 197(C), pages 493-518.
    27. Christensen, Kim & Oomen, Roel C.A. & Podolskij, Mark, 2014. "Fact or friction: Jumps at ultra high frequency," Journal of Financial Economics, Elsevier, vol. 114(3), pages 576-599.
    28. Jian, Zhihong & Zhu, Zhican & Zhou, Jie & Wu, Shuai, 2020. "Intraday price jumps, market liquidity, and the magnet effect of circuit breakers," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 168-186.
    29. Banerjee, Ameet Kumar & Pradhan, H.K., 2022. "Intraday analysis of macroeconomic news surprises, and asymmetries in Indian benchmark bond," Finance Research Letters, Elsevier, vol. 45(C).
    30. Serdengeçti, Süleyman & Sensoy, Ahmet & Nguyen, Duc Khuong, 2021. "Dynamics of return and liquidity (co) jumps in emerging foreign exchange markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).
    31. Nguyen, Duc Binh Benno & Prokopczuk, Marcel, 2017. "Jumps in Commodity Markets," Hannover Economic Papers (HEP) dp-615, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    32. Füss, Roland & Grabellus, Markus & Mager, Ferdinand & Stein, Michael, 2018. "Something in the air: Information density, news surprises, and price jumps," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 53(C), pages 50-75.
    33. Nguyen, Giang & Engle, Robert & Fleming, Michael & Ghysels, Eric, 2020. "Liquidity and volatility in the U.S. Treasury market," Journal of Econometrics, Elsevier, vol. 217(2), pages 207-229.
    34. Gábor Pintér & Chaojun Wang & Junyuan Zou, 2022. "Size discount and size penalty: trading costs in bond markets," Bank of England working papers 970, Bank of England.
    35. Imane El Ouadghiri & Valérie Mignon & Nicolas Boitout, 2014. "On the impact of macroeconomic news surprises on Treasury-bond yields," Working Papers hal-04141345, HAL.
    36. Pavel Gertler & Roman Horvath, 2017. "Market Reading of Central Bankers Words. A High-Frequency Evidence," Working and Discussion Papers WP 2/2017, Research Department, National Bank of Slovakia.
    37. Scaillet, Olivier & Treccani, Adrien & Trevisan, Christopher, 2017. "High-frequency jump analysis of the bitcoin market," Working Papers unige:93900, University of Geneva, Geneva School of Economics and Management.
    38. Liu, Qingfu & Hua, Renhai & An, Yunbi, 2016. "Determinants and information content of intraday bid-ask spreads: Evidence from Chinese commodity futures markets," Pacific-Basin Finance Journal, Elsevier, vol. 38(C), pages 135-148.
    39. Deniz Erdemlioglu & Nikola Gradojevic, 2021. "Heterogeneous investment horizons, risk regimes, and realized jumps," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 617-643, January.
    40. Ao Kong & Hongliang Zhu & Robert Azencott, 2019. "Predicting intraday jumps in stock prices using liquidity measures and technical indicators," Papers 1912.07165, arXiv.org.
    41. George Jiang & Ingrid Lo & Giorgio Valente, 2014. "High-Frequency Trading around Macroeconomic News Announcements: Evidence from the U.S. Treasury Market," Staff Working Papers 14-56, Bank of Canada.
    42. Broto, Carmen & Lamas, Matías, 2020. "Is market liquidity less resilient after the financial crisis? Evidence for US Treasuries," Economic Modelling, Elsevier, vol. 93(C), pages 217-229.
    43. Frédéric Délèze & Syed Mujahid Hussain, 2014. "Information Arrival, Jumps and Cojumps in European Financial Markets: Evidence Using Tick by Tick Data," Multinational Finance Journal, Multinational Finance Journal, vol. 18(3-4), pages 169-213, September.
    44. Boudt, Kris & Petitjean, Mikael, 2014. "Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks," Journal of Financial Markets, Elsevier, vol. 17(C), pages 121-149.
    45. Xueer Zhang & Jui‐Cheng Hung & Chien‐Liang Chiu, 2025. "Do Price Jumps Matter in Volatility Forecasts of US Treasury Futures?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(4), pages 326-342, April.
    46. Yuta Koike, 2014. "An estimator for the cumulative co-volatility of asynchronously observed semimartingales with jumps," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 41(2), pages 460-481, June.
    47. Han, Seung-Oh & Huh, Sahn-Wook & Park, Jeayoung, 2023. "Detecting jumps amidst prevalent zero returns: Evidence from the U.S. Treasury securities," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 276-307.
    48. Wang, Hao & Yue, Mengqi & Zhao, Hua, 2015. "Cojumps in China's spot and stock index futures markets," Pacific-Basin Finance Journal, Elsevier, vol. 35(PB), pages 541-557.
    49. Lin, Hai & Lo, Ingrid & Qiao, Rui, 2021. "Macroeconomic news announcements and market efficiency: Evidence from the U.S. Treasury market," Journal of Banking & Finance, Elsevier, vol. 133(C).
    50. Frijns, Bart & Indriawan, Ivan & Tourani-Rad, Alireza, 2015. "Macroeconomic news announcements and price discovery: Evidence from Canadian–U.S. cross-listed firms," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 35-48.
    51. Dungey, Mardi & Hvozdyk, Lyudmyla, 2012. "Cojumping: Evidence from the US Treasury bond and futures markets," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1563-1575.
    52. Winkelmann, Lars & Yao, Wenying, 2021. "Tests for jumps in yield spreads," Discussion Papers 2021/15, Free University Berlin, School of Business & Economics.
    53. Mardi Dungey & Michael McKenzie & Vanessa Smith, 2007. "Empirical Evidence On Jumps In The Term Structure Of The Us Treasury Market," CAMA Working Papers 2007-25, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    54. Xin Huang, 2015. "Macroeconomic News Announcements, Systemic Risk, Financial Market Volatility and Jumps," Finance and Economics Discussion Series 2015-97, Board of Governors of the Federal Reserve System (U.S.).
    55. Nkwoma, Inekwe John, 2017. "Futures-Based Measures Of Monetary Policy And Jump Risk," Macroeconomic Dynamics, Cambridge University Press, vol. 21(2), pages 384-405, March.
    56. Konstantinos Gkillas & Dimitrios Vortelinos & Christos Floros & Alexandros Garefalakis & Nikolaos Sariannidis, 2020. "Greek sovereign crisis and European exchange rates: effects of news releases and their providers," Annals of Operations Research, Springer, vol. 294(1), pages 515-536, November.
    57. Peter Hördahl & Eli M Remolona & Giorgio Valente, 2015. "Expectations and risk premia at 8:30am: Macroeconomic announcements and the yield curve," BIS Working Papers 527, Bank for International Settlements.
    58. M. Fr Mmel & X. Han & F. Van Gysegem, 2013. "News, Liquidity Dynamics and Intraday Jumps: Evidence from the HUF/EUR market," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 13/848, Ghent University, Faculty of Economics and Business Administration.
    59. Dungey, Mardi & Matei, Marius & Treepongkaruna, Sirimon, 2020. "Examining stress in Asian currencies: A perspective offered by high frequency financial market data," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 67(C).
    60. Gradojevic, Nikola & Erdemlioglu, Deniz & Gençay, Ramazan, 2017. "Informativeness of trade size in foreign exchange markets," Economics Letters, Elsevier, vol. 150(C), pages 27-33.
    61. Gertler, Pavel & Horvath, Roman, 2018. "Central bank communication and financial markets: New high-frequency evidence," Journal of Financial Stability, Elsevier, vol. 36(C), pages 336-345.
    62. Novotný, Jan & Petrov, Dmitri & Urga, Giovanni, 2015. "Trading price jump clusters in foreign exchange markets," Journal of Financial Markets, Elsevier, vol. 24(C), pages 66-92.
    63. Su, Zhifang & Bao, Haohua & Li, Qifang & Xu, Boyu & Cui, Xin, 2022. "The prediction of price gap anomaly in Chinese stock market: Evidence from the dependent functional logit model," Finance Research Letters, Elsevier, vol. 47(PB).
    64. Imane El Ouadghiri & Valérie Mignon & Nicolas Boitout, 2016. "On the impact of macroeconomic news surprises on Treasury-bond returns," Annals of Finance, Springer, vol. 12(1), pages 29-53, February.
    65. Francesco Campigli & Gabriele Tedeschi & Maria Cristina Recchioni, 2021. "The talkative variables of the hybrid Heston model: Yields’ maturity and economic (in)stability," Working Papers 2021/03, Economics Department, Universitat Jaume I, Castellón (Spain).
    66. Sun, Bianxia & Gao, Yang, 2020. "Market liquidity and macro announcement around intraday jumps: Evidence from Chinese stock index futures markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 541(C).
    67. Jiang, George J. & Konstantinidi, Eirini & Skiadopoulos, George, 2012. "Volatility spillovers and the effect of news announcements," Journal of Banking & Finance, Elsevier, vol. 36(8), pages 2260-2273.
    68. Zhou, Haigang & Zhu, John Qi, 2019. "Firm characteristics and jump dynamics in stock prices around earnings announcements," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    69. Abed Masrorkhah, Sara & Lehnert, Thorsten, 2017. "Press freedom and jumps in stock prices," Economic Systems, Elsevier, vol. 41(1), pages 151-162.
    70. Yusaku Nishimura & Xuyi Dong & Bianxia Sun, 2021. "Trump's tweets: Sentiment, stock market volatility, and jumps," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 44(3), pages 497-512, September.
    71. Zhang, Chuanhai & Liu, Zhi & Liu, Qiang, 2021. "Jumps at ultra-high frequency: Evidence from the Chinese stock market," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
    72. Sobti, Neharika, 2025. "What triggers intraday price jumps and co-jumps in gold?," International Review of Financial Analysis, Elsevier, vol. 105(C).
    73. Lee A. Smales, 2021. "The effect of treasury auctions on 10‐year Treasury note futures," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(S1), pages 1517-1555, April.
    74. Ao Kong & Hongliang Zhu & Robert Azencott, 2021. "Predicting intraday jumps in stock prices using liquidity measures and technical indicators," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(3), pages 416-438, April.
    75. Yuewen Xiao & Xiangkang Yin & Jing Zhao, 2020. "Jumps, News, And Subsequent Return Dynamics: An Intraday Study," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 43(3), pages 705-731, August.
    76. Lars Winkelmann & Markus Bibinger & Tobias Linzert, 2016. "ECB Monetary Policy Surprises: Identification Through Cojumps in Interest Rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(4), pages 613-629, June.
    77. Supatgiat, Chonawee & Phiromswad, Piyachart & Sahin, Olgun Fuat & Sarajoti, Pattarake, 2025. "Investigating the impact of ESG ratings on ETF performance during market disruptions: Evidence from the COVID-19 pandemic and Russian (full-scale) invasion of Ukraine," Research in International Business and Finance, Elsevier, vol. 77(PA).
    78. Caporin, Massimiliano & Poli, Francesco, 2022. "News and intraday jumps: Evidence from regularization and class imbalance," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    79. Xin Huang, 2018. "Macroeconomic news announcements, systemic risk, financial market volatility, and jumps," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(5), pages 513-534, May.
    80. Anabelle Couleau & Teresa Serra & Philip Garcia, 2020. "Are Corn Futures Prices Getting “Jumpy”?," American Journal of Agricultural Economics, John Wiley & Sons, vol. 102(2), pages 569-588, March.
    81. Piyachart Phiromswad & Pattanaporn Chatjuthamard & Sirimon Treepongkaruna & Sabin Srivannaboon, 2021. "Jumps and Cojumps analyses of major and minor cryptocurrencies," PLOS ONE, Public Library of Science, vol. 16(2), pages 1-9, February.
    82. Cui, Jing & Zhao, Hua, 2015. "Intraday jumps in China's Treasury bond market and macro news announcements," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 211-223.
    83. Smales, L.A., 2021. "Macroeconomic news and treasury futures return volatility: Do treasury auctions matter?," Global Finance Journal, Elsevier, vol. 48(C).
    84. Zhang, Hao & Zhu, Jiaqing, 2022. "Does trade cause fear of appreciation?," International Review of Economics & Finance, Elsevier, vol. 78(C), pages 68-80.
    85. Ao Kong & Robert Azencott & Hongliang Zhu & Xindan Li, 2020. "Pattern recognition in micro-trading behaviors before stock price jumps: A framework based on multivariate time series analysis," Papers 2011.04939, arXiv.org, revised Feb 2021.
    86. Ao Kong & Robert Azencott & Hongliang Zhu & Xindan Li, 2024. "Pattern Recognition in Microtrading Behaviors Preceding Stock Price Jumps: A Study Based on Mutual Information for Multivariate Time Series," Computational Economics, Springer;Society for Computational Economics, vol. 63(4), pages 1401-1429, April.
    87. Kam F. Chan & Philip Gray, 2018. "Volatility jumps and macroeconomic news announcements," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(8), pages 881-897, August.
    88. Jan Novotný & Giovanni Urga, 2018. "Testing for Co-jumps in Financial Markets," Journal of Financial Econometrics, Oxford University Press, vol. 16(1), pages 118-128.
    89. Dumitru, Ana-Maria & Urga, Giovanni, 2016. "Jumps and Information Asymmetry in the US Treasury Market," EconStor Preprints 130148, ZBW - Leibniz Information Centre for Economics.
    90. Zhihong Jian & Zhican Zhu & Jie Zhou & Shuai Wu, 2018. "The Magnet Effect of Circuit Breakers: A role of price jumps and market liquidity," Departmental Working Papers 2018-01, The University of Winnipeg, Department of Economics.
    91. Boffelli, Simona & Urga, Giovanni, 2015. "Macroannouncements, bond auctions and rating actions in the European government bond spreads," Journal of International Money and Finance, Elsevier, vol. 53(C), pages 148-173.
    92. Jiang, George J. & Lo, Ingrid, 2014. "Private information flow and price discovery in the U.S. treasury market," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 118-133.

  10. Ralph S. J. Koijen & Hanno Lustig & Stijn Van Nieuwerburgh & Adrien Verdelhan, 2010. "Long Run Risk, the Wealth-Consumption Ratio, and the Temporal Pricing of Risk," American Economic Review, American Economic Association, vol. 100(2), pages 552-556, May.

    Cited by:

    1. Kano, Takashi & Wada, Kenji, 2017. "The first arrow hitting the currency target: A long-run risk perspective," Journal of International Money and Finance, Elsevier, vol. 74(C), pages 337-352.
    2. Ravi Jagannathan & Binying Liu, 2015. "Dividend Dynamics, Learning, and Expected Stock Index Returns," NBER Working Papers 21557, National Bureau of Economic Research, Inc.
    3. J. David Lopez-Salido & Francisco Vazquez-Grande & Pierlauro Lopez, 2015. "Macro-Finance Separation by Force of Habit," 2015 Meeting Papers 980, Society for Economic Dynamics.
    4. Martijn Boons & Frans de Roon & Fernando M. Duarte & Marta Szymanowska, 2013. "Time-Varying Inflation Risk and Stock Returns," Staff Reports 621, Federal Reserve Bank of New York.
    5. Bakshi, Gurdip & Chabi-Yo, Fousseni, 2012. "Variance bounds on the permanent and transitory components of stochastic discount factors," Journal of Financial Economics, Elsevier, vol. 105(1), pages 191-208.
    6. Ravi Jagannathan & Srikant Marakani, 2015. "Price-Dividend Ratio Factor Proxies for Long-Run Risks," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 5(1), pages 1-47.
    7. Mariano Max Croce & Thien T. Nguyen & Steve Raymond, 2019. "Persistent Government Debt and Aggregate Risk Distribution," NBER Working Papers 26177, National Bureau of Economic Research, Inc.
    8. Emi Nakamura & Dmitriy Sergeyev & Jón Steinsson, 2017. "Growth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidence," American Economic Journal: Macroeconomics, American Economic Association, vol. 9(1), pages 1-39, January.
    9. Rubio-Ramírez, Juan Francisco & Fernández-Villaverde, Jesús & Koijen, Ralph & van Binsbergen, Jules, 2010. "The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences," CEPR Discussion Papers 7781, C.E.P.R. Discussion Papers.
    10. Bakshi, Gurdip & Chabi-Yo, Fousseni, 2011. "Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors," Working Paper Series 2011-11, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    11. Wang, Qin & Ren, Yu & Zou, Yiheng, 2016. "Uninsured expense shocks and equity premia," Economic Modelling, Elsevier, vol. 58(C), pages 64-74.
    12. Croce, Mariano & Nguyen, Thien & Raymond, Steve, 2019. "Persistent Government Debt and Aggregate Risk Distribution," CEPR Discussion Papers 13922, C.E.P.R. Discussion Papers.
    13. Croce, M. & Nguyen, Thien T. & Raymond, S., 2021. "Persistent government debt and aggregate risk distribution," Journal of Financial Economics, Elsevier, vol. 140(2), pages 347-367.
    14. Ole Wilms & Karl Schmedders & Walt Pohl, 2016. "Higher-Order Effects in Asset-Pricing Models with Long-Run Risks," 2016 Meeting Papers 306, Society for Economic Dynamics.

  11. 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.
    See citations under working paper version above.
  12. 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.
    See citations under working paper version above.
  13. Hanno Lustig & Adrien Verdelhan, 2006. "Investing in Foreign Currency is like Betting on your Intertemporal Marginal Rate of Substitution," Journal of the European Economic Association, MIT Press, vol. 4(2-3), pages 644-655, 04-05.
    See citations under working paper version above.
  14. Sophie Garcia & Adrien Verdelhan, 2001. "Le policy-mix de la zone euro. Une évaluation de l'impact des chocs monétaires et budgétaires," Economie & Prévision, La Documentation Française, vol. 148(2), pages 23-40.

    Cited by:

    1. Jérôme Hericourt, 2005. "And if One Size Fit All after All? A Counterfactual Examination of the ECB Monetary Policy under Duisenberg Presidency," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-03280963, HAL.
    2. Jean-François Goux, 2010. "Une approche déterministe du taux de change euro-dollar," Économie et Prévision, Programme National Persée, vol. 195(4), pages 35-51.

Chapters

  1. Hanno Lustig & Adrien Verdelhan, 2009. "Comment on "Carry Trades and Currency Crashes"," NBER Chapters, in: NBER Macroeconomics Annual 2008, Volume 23, pages 361-384, National Bureau of Economic Research, Inc.

    Cited by:

    1. Gabaix, Xavier & Farhi, Emmanuel, 2015. "Rare Disasters and Exchange Rates," CEPR Discussion Papers 10334, C.E.P.R. Discussion Papers.

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