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US Equity Tail Risk and Currency Risk Premia

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  • Zhenzhen Fan
  • Juan M. Londono
  • Xiao Xiao

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Suggested Citation

  • 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.).
  • Handle: RePEc:fip:fedgif:1253
    DOI: 10.17016/IFDP.2019.1253
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    File URL: https://www.federalreserve.gov/econres/ifdp/files/ifdp1253.pdf
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    References listed on IDEAS

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    5. 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.
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    32. Bakshi, Gurdip & Panayotov, George, 2013. "Predictability of currency carry trades and asset pricing implications," Journal of Financial Economics, Elsevier, vol. 110(1), pages 139-163.
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    35. Lustig, Hanno & Roussanov, Nikolai & Verdelhan, Adrien, 2014. "Countercyclical currency risk premia," Journal of Financial Economics, Elsevier, vol. 111(3), pages 527-553.
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