We characterize the relation between exchange rates and their macroeconomic
fundamentals without committing to a specific model of preferences, endowment or menu of …

Standard asset pricing models reconcile high equity premia with smooth risk-free rates by
inducing an inverse functional relationship between the mean and the variance of the …

We study the source of exchange rate fluctuations using a general equilibrium model
accommodating shocks in goods and financial markets. These shocks differ in their induced …

We introduce safe asset demand for dollar-denominated bonds into a tractable
incompletemarket model of exchange rates. The convenience yield on dollar bonds enters …

We introduce safe asset demand for dollar-denominated bonds into a tractable incomplete-
market model of exchange rates. The convenience yield on dollar bonds enters as a …

We review the literature on multi-horizon currency risk premiums. We show how the multi-
horizon implications arise from the classic present-value relationship. We further show how …

Classical contributions in international macroeconomics rely on goods-market mechanisms
to reconcile the cyclicality of real exchange rates when financial markets are incomplete …

We find that variation in expected US productivity explains over half of US dollar/G7
exchange rate fluctuations. Both correctly-anticipated changes in productivity and …

I develop a heterogeneous-country model of the world economy to study the distributional
impact of aggregate capital flight episodes. A global intermediary borrows from all countries …

This paper develops a systematic framework for testing asset-pricing models, with a
particular focus on obtaining testable restrictions on the joint distribution of multiple SDFs …