We develop a theory that links the US dollar's valuation in FX markets to the convenience
yield that foreign investors derive from holding US safe assets. We show that this …

We develop a model in which specialized bond investors must absorb shocks to the supply
and demand for long-term bonds in two currencies. Since long-term bonds and foreign …

Fixing the investment horizon, the returns to currency carry trades decrease as the maturity
of the foreign bonds increases. Across developed countries, the local currency term premia …

Using survey data, we document that predictable exchange rate forecast errors are
responsible for the uncovered-interest-parity (UIP) puzzle and its reversal at longer horizons …

The currency market features a small cross‐section, and conditional expected returns can
be characterized by few signals: interest differential, trend, and mean reversion. We exploit …

Although it is widely accepted that exchange rates are connected, what drives these
connections remains an unsettled question. We examine the interconnections and spillovers …

By using the NARDL model, we investigate the asymmetric relationship between Sino-US
interest rate differentials, economic policy uncertainty (EPU) ratio, and the RMB exchange …

We present theory showing that the spot dollar exchange rate reflects the value of all future
convenience yields that foreign investors assign to US Treasuries. The convenience yield …

The objective of this paper is to show that the proposal by Froot and Thaler (1990) of
delayed portfolio adjustment can account for a broad set of puzzles about the relationship …

We present a new identity that relates expected exchange rate appreciation to a risk-neutral
covariance term, and use it to motivate a currency forecasting variable based on the prices …