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The Share of Systematic Variation in Bilateral Exchange Rates

Citations

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Cited by:

  1. Iwanaga, Yasuhiro & Sakemoto, Ryuta, 2025. "Conditional currency momentum portfolios," International Review of Financial Analysis, Elsevier, vol. 99(C).
  2. Niepmann, Friederike & Schmidt-Eisenlohr, Tim, 2023. "Institutional investors, the dollar, and U.S. credit conditions," Journal of Financial Economics, Elsevier, vol. 147(1), pages 198-220.
  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. Ferrari Minesso, Massimo & Mehl, Arnaud & Stracca, Livio, 2022. "Central bank digital currency in an open economy," Journal of Monetary Economics, Elsevier, vol. 127(C), pages 54-68.
  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. Mr. Tobias Adrian & Peichu Xie, 2020. "The Non-U.S. Bank Demand for U.S. Dollar Assets," IMF Working Papers 2020/101, International Monetary Fund.
  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, Katya & Wang, Mengqi & Xiang, Nan, 2022. "A reconsideration of the failure of uncovered interest parity for the U.S. dollar," Journal of International Economics, Elsevier, vol. 136(C).
  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. 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.
  31. 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).
  32. Jiang, Zhengyang, 2021. "US Fiscal cycle and the dollar," Journal of Monetary Economics, Elsevier, vol. 124(C), pages 91-106.
  33. 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.
  34. Lin, Mei-Chen, 2024. "Salience, psychological anchors, and stock return predictability," Pacific-Basin Finance Journal, Elsevier, vol. 88(C).
  35. 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.
  36. Georgiadis, Georgios & Müller, Gernot J. & Schumann, Ben, 2024. "Global risk and the dollar," Journal of Monetary Economics, Elsevier, vol. 144(C).
  37. Yung, Julieta, 2021. "Can interest rate factors explain exchange rate fluctuations?," Journal of Empirical Finance, Elsevier, vol. 61(C), pages 34-56.
  38. 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.
  39. 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.
  40. 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.
  41. 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.
  42. 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).
  43. Gamboa-Estrada, Fredy & Romero, José Vicente, 2022. "Common and idiosyncratic movements in Latin-American exchange rates," International Economics, Elsevier, vol. 171(C), pages 174-190.
  44. Andrews, Spencer & Colacito, Riccardo & Croce, Mariano M. & Gavazzoni, Federico, 2024. "Concealed carry," Journal of Financial Economics, Elsevier, vol. 159(C).
  45. 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.
  46. Wang, Xinjie & Xiao, Yaqing & Yan, Hongjun & Zhang, Jinfan, 2021. "Under-reaction in the sovereign CDS market," Journal of Banking & Finance, Elsevier, vol. 130(C).
  47. 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.
  48. Michaelides, Alexander & Milidonis, Andreas & Nishiotis, George P., 2019. "Private information in currency markets," Journal of Financial Economics, Elsevier, vol. 131(3), pages 643-665.
  49. 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.
  50. Opie, Wei & Riddiough, Steven J., 2020. "Global currency hedging with common risk factors," Journal of Financial Economics, Elsevier, vol. 136(3), pages 780-805.
  51. 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).
  52. Arash Aloosh & Geert Bekaert, 2022. "Currency Factors," Management Science, INFORMS, vol. 68(6), pages 4042-4064, June.
  53. Leonie Bräuer & Harald Hau, 2022. "Can Time-Varying Currency Risk Hedging Explain Exchange Rates?," Swiss Finance Institute Research Paper Series 22-77, Swiss Finance Institute.
  54. 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.
  55. Kunkler, Michael, 2024. "Highlighting some of the issues with multicurrency numéraires," Finance Research Letters, Elsevier, vol. 69(PB).
  56. 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).
  57. 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.
  58. 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.
  59. Liu, Xi & Zhang, Xueyong, 2024. "Geopolitical risk and currency returns," Journal of Banking & Finance, Elsevier, vol. 161(C).
  60. Mikhail Chernov & Magnus Dahlquist & Lars Lochstoer, 2023. "Pricing Currency Risks," Journal of Finance, American Finance Association, vol. 78(2), pages 693-730, April.
  61. 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).
  62. Friederike Niepmann & Tim Schmidt-Eisenlohr, 2018. "Global Investors, the Dollar, and U.S. Credit Conditions," CESifo Working Paper Series 7288, CESifo.
  63. Müller, Gernot & Georgiadis, Georgios & Schumann, Ben, 2023. "Dollar Trinity and the Global Financial Cycle," CEPR Discussion Papers 18427, C.E.P.R. Discussion Papers.
  64. Pierre-Olivier Gourinchas & Hélène Rey & Maxime Sauzet, 2019. "The International Monetary and Financial System," Annual Review of Economics, Annual Reviews, vol. 11(1), pages 859-893, August.
  65. 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).
  66. Sai Ma & Tim Schmidt-Eisenlohr, 2023. "The Financial Channel of the Exchange Rate and Global Trade," CESifo Working Paper Series 10495, CESifo.
  67. Parra-Polanía, Julián & Sánchez-Jabba, Andrés & Sarmiento, Miguel, 2024. "Are FX communications effective? Evidence from emerging markets," Emerging Markets Review, Elsevier, vol. 59(C).
  68. Lorenzo Bretscher, 2023. "From Local to Global: Offshoring and Asset Prices," Management Science, INFORMS, vol. 69(3), pages 1420-1448, March.
  69. Filippou, Ilias & Taylor, Mark P., 2023. "Forward-Looking Policy Rules and Currency Premia," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 58(1), pages 449-483, February.
  70. Jiang, Zhengyang & Richmond, Robert J., 2023. "Origins of international factor structures," Journal of Financial Economics, Elsevier, vol. 147(1), pages 1-26.
  71. Fabian Ackermann & Walt Pohl & Karl Schmedders, 2017. "Optimal and Naive Diversification in Currency Markets," Management Science, INFORMS, vol. 63(10), pages 3347-3360, October.
  72. Aleksandra Babii, 2019. "Exchange Rates Co-movement and International Trade," 2019 Meeting Papers 1150, Society for Economic Dynamics.
  73. Akbari, Amir & Carrieri, Francesca, 2023. "Global risk and market conditions," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 51-70.
  74. 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).
  75. Antonia Diaz & Luis A. Puch, 2016. "Investment, Technological Progress and Energy Efficiency," Working Papers 909, Barcelona School of Economics.
  76. Eriksen, Jonas N., 2019. "Cross-sectional return dispersion and currency momentum," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 91-108.
  77. 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).
  78. 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.
  79. 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.
  80. 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.
  81. Aysun, Uluc, 2024. "Identifying the external and internal drivers of exchange rate volatility in small open economies," Emerging Markets Review, Elsevier, vol. 58(C).
  82. 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.
  83. Arash, Aloosh, 2011. "Variance Risk Premium Differentials and Foreign Exchange Returns," MPRA Paper 40829, University Library of Munich, Germany, revised 18 Aug 2012.
  84. 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.
  85. Grobys, Klaus & Heinonen, Jari-Pekka, 2016. "Is there a credit risk anomaly in FX markets?," Finance Research Letters, Elsevier, vol. 18(C), pages 1-6.
  86. 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).
  87. Zhang, Shaojun, 2022. "Dissecting currency momentum," Journal of Financial Economics, Elsevier, vol. 144(1), pages 154-173.
  88. Hagedorn, Marcus, 2021. "An Equilibrium Theory of Nominal Exchange Rates," CEPR Discussion Papers 16517, C.E.P.R. Discussion Papers.
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