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Citations for "Common Risk Factors in Currency Markets"

by Nick Roussanov & Adrien Verdelhan & Hanno Lustig

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  1. 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.
  2. Zsolt Darvas, 2008. "Leveraged carry trade portfolios," Working Papers 0802, Department of Mathematical Economics and Economic Analysis, Corvinus University of Budapest, revised 18 Jun 2008.
  3. Adrien Verdelhan, 2012. "The Share of Systematic Variation in Bilateral Exchange Rates," 2012 Meeting Papers 763, Society for Economic Dynamics.
  4. Charles Engel, 2011. "The Real Exchange Rate, Real Interest Rates, and the Risk Premium," Working Papers 272011, Hong Kong Institute for Monetary Research.
  5. Francis Breedon & Dagfinn Rime & Paolo Vital, 2010. "A Transaction Data Study of the Forward Bias Puzzle," Working Paper 2010/26, Norges Bank.
  6. Yu-chin Chen & Kwok Ping Tsang, 2013. "What Does the Yield Curve Tell Us about Exchange Rate Predictability?," The Review of Economics and Statistics, MIT Press, vol. 95(1), pages 185-205, March.
  7. Christian Grisse & Thomas Nitschka, 2013. "On financial risk and the safe haven characteristics of Swiss franc exchange rates," Working Papers 2013-04, Swiss National Bank.
  8. Weithing Zhang & Thomas Mertens & Tarek Hassan, 2014. "Currency Manipulation," 2014 Meeting Papers 401, Society for Economic Dynamics.
  9. Nucera, Federico & Valente, Giorgio, 2013. "Carry trades and the performance of currency hedge funds," Journal of International Money and Finance, Elsevier, vol. 33(C), pages 407-425.
  10. Karen K. Lewis, 2011. "Global asset pricing," Globalization and Monetary Policy Institute Working Paper 88, Federal Reserve Bank of Dallas.
  11. Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas, 2009. "Carry Trades and Global FX Volatility," MPRA Paper 14728, University Library of Munich, Germany.
  12. Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas, 2012. "Currency Momentum Strategies," CEPR Discussion Papers 8747, C.E.P.R. Discussion Papers.
  13. Kocenda, Evzen & Poghosyan, Tigran, 2009. "Macroeconomic sources of foreign exchange risk in new EU members," Journal of Banking & Finance, Elsevier, vol. 33(11), pages 2164-2173, November.
  14. Rahel Studer-Suter & Alexandra Janssen, 2014. "The Swiss franc's honeymoon," ECON - Working Papers 170, Department of Economics - University of Zurich.
  15. Mayordomo, Sergio & Rodriguez-Moreno, Maria & Peña, Juan Ignacio, 2014. "Liquidity commonalities in the corporate CDS market around the 2007–2012 financial crisis," International Review of Economics & Finance, Elsevier, vol. 31(C), pages 171-192.
  16. Habib, Maurizio Michael & Stracca, Livio, 2011. "Getting beyond carry trade: what makes a safe haven currency?," Working Paper Series 1288, European Central Bank.
  17. Lukas Mankhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2013. "Information Flows in Dark Markets: Dissecting Customer Currency Trades," BIS Working Papers 405, Bank for International Settlements.
  18. Hanno Lustig & Nikolai Roussanov & Adrien Verdelhan, 2010. "Countercyclical Currency Risk Premia," NBER Working Papers 16427, National Bureau of Economic Research, Inc.
  19. Gourio, François & Siemer, Michael & Verdelhan, Adrien, 2013. "International risk cycles," Journal of International Economics, Elsevier, vol. 89(2), pages 471-484.
  20. Kerstin Bernoth & Jürgen von Hagen & Casper G. de Vries, 2010. "The Forward Premium Puzzle and Latent Factors Day by Day," Discussion Papers of DIW Berlin 989, DIW Berlin, German Institute for Economic Research.
  21. Charlotte Christiansen & Maik Schmeling & Andreas Schrimpf, 2012. "A Comprehensive Look at Financial Volatility Prediction by Economic Variables," BIS Working Papers 374, Bank for International Settlements.
  22. Gregory H. Bauer & Antonio Diez de los Rios, 2012. "An International Dynamic Term Structure Model with Economic Restrictions and Unspanned Risks," Staff Working Papers 12-5, Bank of Canada.
  23. Hongjun Yan, 2011. "Anticipated and Repeated Shocks in Liquid Markets," Yale School of Management Working Papers amz2675, Yale School of Management.
  24. Thomas Nitschka, 2009. "Momentum in stock market returns, risk premia on foreign currencies and international financial integration," IEW - Working Papers 405, Institute for Empirical Research in Economics - University of Zurich.
  25. repec:eco:journ1:2014-02-3 is not listed on IDEAS
  26. Tarek A. Hassan & Rui C. Mano, 2014. "Forward and Spot Exchange Rates in a Multi-currency World," NBER Working Papers 20294, National Bureau of Economic Research, Inc.
  27. Juan M. Londono & Hao Zhou, 2012. "Variance risk premiums and the forward premium puzzle," International Finance Discussion Papers 1068, Board of Governors of the Federal Reserve System (U.S.).
  28. Xavier Gabaix & Samuel Fraiberg & Romain Ranciere & Adrien Verdehlha & Emmanuel Farhi, 2010. "Crash Risk in Currency Market," 2010 Meeting Papers 640, Society for Economic Dynamics.
  29. Mariano M. Croce & Riccardo Colacito, 2010. "International Asset Pricing with Risk-Sensitive Rare Events," 2010 Meeting Papers 176, Society for Economic Dynamics.
  30. Stephanie E. Curcuru & Charles P. Thomas & Francis E. Warnock & Jon Wongswan, 2014. "Uncovered Equity Parity and Rebalancing in International Portfolios," NBER Working Papers 19963, National Bureau of Economic Research, Inc.
  31. 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.
  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.
  33. 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.
  34. Martin Lettau & Matteo Maggiori & Michael Weber, 2013. "Conditional Risk Premia in Currency Markets and Other Asset Classes," NBER Working Papers 18844, National Bureau of Economic Research, Inc.
  35. Jacob Gyntelberg & Andreas Schrimpf, 2011. "FX strategies in periods of distress," BIS Quarterly Review, Bank for International Settlements, December.
  36. Ryan Greenaway-McGrevy & Nelson C. Mark & Donggyu Sul & Jyh-Lin Wu, 2012. "Exchange Rates as Exchange Rate Common Factors," Working Papers 212012, Hong Kong Institute for Monetary Research.
  37. Angelo Ranaldo & Paul Söderlind, 2007. "Safe Haven Currencies," University of St. Gallen Department of Economics working paper series 2007 2007-22, Department of Economics, University of St. Gallen.
  38. José Carreño & Paulo Cox, 2014. "Carry Trade y Turbulencias Cambiarias con el Peso Chileno," Working Papers Central Bank of Chile 733, Central Bank of Chile.
  39. Matthew Ames & Guillaume Bagnarosa & Gareth W. Peters, 2013. "Reinvestigating the Uncovered Interest Rate Parity Puzzle via Analysis of Multivariate Tail Dependence in Currency Carry Trades," Papers 1303.4314, arXiv.org, revised Jan 2014.
  40. Mathias Hoffmann & Rahel Suter, 2013. "Systematic consumption risk in currency returns," ECON - Working Papers 124, Department of Economics - University of Zurich.
  41. Baillie, Richard T. & Chang, Sanders S., 2011. "Carry trades, momentum trading and the forward premium anomaly," Journal of Financial Markets, Elsevier, vol. 14(3), pages 441-464, August.
  42. Aidan Corcoran, 2010. "Global Funding Liquidity, Equity Returns and Crash Risk: Implications for Monetary Policy," The Institute for International Integration Studies Discussion Paper Series iiisdp318, IIIS, revised Feb 2010.
  43. Schindler, Felix & Kröncke, Tim-Alexander, 2011. "International Diversification with Securitized Real Estate and the Veiling Glare from Currency Risk," Annual Conference 2011 (Frankfurt, Main): The Order of the World Economy - Lessons from the Crisis 48705, Verein für Socialpolitik / German Economic Association.
  44. Cenedese, Gino & Sarno, Lucio & Tsiakas, Ilias, 2014. "Foreign exchange risk and the predictability of carry trade returns," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 302-313.
  45. Craig Burnside, 2011. "Carry Trades and Risk," NBER Working Papers 17278, National Bureau of Economic Research, Inc.
  46. Victoria Atanasov & Thomas Nitschka, 2013. "The Size Effect in Value and Momentum Factors: Implications for the Cross-section of International Stock Returns," Tinbergen Institute Discussion Papers 13-180/IV/DSF66, Tinbergen Institute.
  47. Sensoy, Ahmet, 2015. "An alternative way to track the hot money in turbulent times," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 215-220.
  48. Yu, Jianfeng, 2013. "A sentiment-based explanation of the forward premium puzzle," Journal of Monetary Economics, Elsevier, vol. 60(4), pages 474-491.
  49. Jylhä, Petri & Suominen, Matti, 2011. "Speculative capital and currency carry trades," Journal of Financial Economics, Elsevier, vol. 99(1), pages 60-75, January.
  50. Arash, Aloosh, 2011. "Variance Risk Premium Differentials and Foreign Exchange Returns," MPRA Paper 40829, University Library of Munich, Germany, revised 18 Aug 2012.
  51. Ian Martin, 2011. "The Forward Premium Puzzle in a Two-Country World," NBER Working Papers 17564, National Bureau of Economic Research, Inc.
  52. Tobias Adrian & Erkko Etula & Jan J. J. Groen, 2010. "Financial amplification of foreign exchange risk premia," Staff Reports 461, Federal Reserve Bank of New York.
  53. Kim, Daehwan & Song, Chi-Young, 2015. "Bank default risk and carry trade profit," Economics Letters, Elsevier, vol. 130(C), pages 117-119.
  54. Aloosh, Arash, 2014. "Global Variance Risk Premium and Forex Return Predictability," MPRA Paper 59931, University Library of Munich, Germany.
  55. Craig Burnside, 2009. "Comment on "Carry Trades and Currency Crashes"," NBER Chapters, in: NBER Macroeconomics Annual 2008, Volume 23, pages 349-359 National Bureau of Economic Research, Inc.
  56. 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.
  57. David K. Backus & Federico Gavazzoni & Christopher Telmer & Stanley E. Zin, 2010. "Monetary Policy and the Uncovered Interest Parity Puzzle," NBER Working Papers 16218, National Bureau of Economic Research, Inc.
  58. Aidan Corcoran, 2009. "The Determinants of Carry Trade Risk Premia," The Institute for International Integration Studies Discussion Paper Series iiisdp287, IIIS.
  59. Philippe Mueller & Andreas Stathopoulos & Andrea Vedolin, . "International Correlation Risk," FMG Discussion Papers dp716, Financial Markets Group.
  60. Sarno, Lucio & Schneider, Paul & Wagner, Christian, 2010. "Properties of Foreign Exchange Risk Premia," MPRA Paper 21302, University Library of Munich, Germany.
  61. Cialenco, Igor & Protopapadakis, Aris, 2011. "Do technical trading profits remain in the foreign exchange market? Evidence from 14 currencies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(2), pages 176-206, April.
  62. Laborda, Juan & Laborda, Ricardo & Olmo, Jose, 2014. "Optimal currency carry trade strategies," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 52-66.
  63. Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla I. & Masih, A. Mansur M., 2014. "The Role of Islamic Asset Classes in the Diversified Portfolios: Mean Variance Spanning Test," MPRA Paper 56857, University Library of Munich, Germany.
  64. Murtazashvili, Irina & Vozlyublennaia, Nadia, 2013. "When do characteristics-sorted factors mechanically explain returns?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 25(C), pages 119-143.
  65. Olga Klinkowska & Angelica Gonzalez & Abhay Abhyankar, 2012. "Salvaging the C-CAPM: Currency Carry Trade Risk Premia and Conditioning Information," 2012 Meeting Papers 56, Society for Economic Dynamics.
  66. Jianfeng Yu, 2011. "A sentiment-based explanation of the forward premium puzzle," Globalization and Monetary Policy Institute Working Paper 90, Federal Reserve Bank of Dallas.
  67. Irina Zviadadze, 2014. "Term-structure of consumption risk premia in the cross-section of currency returns," 2014 Meeting Papers 1075, Society for Economic Dynamics.
  68. Kent Daniel & Robert J. Hodrick & Zhongjin Lu, 2014. "The Carry Trade: Risks and Drawdowns," NBER Working Papers 20433, National Bureau of Economic Research, Inc.
  69. Michael Melvin & John Prins & Duncan Shand, 2013. "Forecasting Exchange Rates: An Investor Perspective," CESifo Working Paper Series 4238, CESifo Group Munich.
  70. Dahlquist, Magnus & Hasseltoft, Henrik, 2013. "International Bond Risk Premia," Journal of International Economics, Elsevier, vol. 90(1), pages 17-32.
  71. Sarno, Lucio & Schneider, Paul & Wagner, Christian, 2012. "Properties of foreign exchange risk premiums," Journal of Financial Economics, Elsevier, vol. 105(2), pages 279-310.
  72. Thomas Nitschka, 2008. "Idiosyncratic Consumption Risk and Predictability of the Carry Trade Premium: Euro Area Evidence," IEW - Working Papers 387, Institute for Empirical Research in Economics - University of Zurich.
  73. Paul Soderlind & Angelo Ranaldo & Charlotte Christiansen, 2009. "The Time-Varying Systematic Risk of Carry Trade Strategies," University of St. Gallen Department of Economics working paper series 2009 2009-06, Department of Economics, University of St. Gallen.
  74. Lukas Menkhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2012. "Carry Trades and Global Foreign Exchange Volatility," Journal of Finance, American Finance Association, vol. 67(2), pages 681-718, 04.
  75. Yu-chin Chen & Kwok Ping Tsang, 2010. "A Macro-Finance Approach to Exchange Rate Determination," Working Papers e07-19, Virginia Polytechnic Institute and State University, Department of Economics.
  76. Bruno Freitas Boynard de Vasconcelos & Benjamin Miranda Tabak, 2014. "Banking Systemic Risk, Foreign Funding, Exchange Rate Exposure and Carry Trade: is there a relation?," Working Papers Series 365, Central Bank of Brazil, Research Department.
  77. Banti, Chiara & Phylaktis, Kate & Sarno, Lucio, 2012. "Global liquidity risk in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 31(2), pages 267-291.
  78. Matthew Ames & Gareth W. Peters & Guillaume Bagnarosa & Ioannis Kosmidis, 2014. "Upside and Downside Risk Exposures of Currency Carry Trades via Tail Dependence," Papers 1406.4322, arXiv.org.
  79. Potì, Valerio & Siddique, Akhtar, 2013. "What drives currency predictability?," Journal of International Money and Finance, Elsevier, vol. 36(C), pages 86-106.
  80. Daskalaki, Charoula & Kostakis, Alexandros & Skiadopoulos, George, 2014. "Are there common factors in individual commodity futures returns?," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 346-363.
  81. Doukas, John A. & Zhang, Hao, 2013. "The performance of NDF carry trades," Journal of International Money and Finance, Elsevier, vol. 36(C), pages 172-190.
  82. Jesper Rangvid & Maik Schmeling & Andreas Schrimpf, 2010. "Dividend predictability around the world," CREATES Research Papers 2010-03, School of Economics and Management, University of Aarhus.
  83. Yin, Weiwei & Li, Junye, 2014. "Macroeconomic fundamentals and the exchange rate dynamics: A no-arbitrage macro-finance approach," Journal of International Money and Finance, Elsevier, vol. 41(C), pages 46-64.
  84. Curcuru, Stephanie E. & Thomas, Charles P. & Warnock, Francis E. & Wongswan, Jon, 2014. "Uncovered Equity Parity and rebalancing in international portfolios," Journal of International Money and Finance, Elsevier, vol. 47(C), pages 86-99.
  85. Yang, Fan, 2013. "Investment shocks and the commodity basis spread," Journal of Financial Economics, Elsevier, vol. 110(1), pages 164-184.
  86. Novy-Marx, Robert, 2012. "Is momentum really momentum?," Journal of Financial Economics, Elsevier, vol. 103(3), pages 429-453.
  87. Jurek, Jakub W., 2014. "Crash-neutral currency carry trades," Journal of Financial Economics, Elsevier, vol. 113(3), pages 325-347.
  88. Cho, Dooyeon & Doblas-Madrid, Antonio, 2014. "Trade intensity and purchasing power parity," Journal of International Economics, Elsevier, vol. 93(1), pages 194-209.
  89. Raza, Ahmad & Marshall, Ben R. & Visaltanachoti, Nuttawat, 2014. "Is there momentum or reversal in weekly currency returns?," Journal of International Money and Finance, Elsevier, vol. 45(C), pages 38-60.
  90. Huang, Huichou & MacDonald, Ronald, 2012. "Currency Carry Trades, Position-Unwinding Risk, and Sovereign Credit Premia," MPRA Paper 47987, University Library of Munich, Germany, revised 28 Jan 2013.
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