This chapter surveys recent theoretical and empirical contributions on foreign exchange rate
determination. The chapter first examines monetary models under uncovered interest parity …

We examine the empirical properties of the payoffs to two popular currency speculation
strategies: the carry trade and momentum. We review three possible explanations for the …

We find that shocks to the equity capital ratio of financial intermediaries—Primary Dealer
counterparties of the New York Federal Reserve—possess significant explanatory power for …

To contribute to this conversation, the NBER Asset Pricing program convened a panel
discussion on “Perspectives on the Future of Asset Pricing” at its November 8, 2019, meeting …

We apply the concept of carry, which has been studied almost exclusively in currency
markets, to any asset. A security's expected return is decomposed into its “carry,” an ex-ante …

Momentum in individual stock returns relates to momentum in factor returns. Most factors are
positively autocorrelated: the average factor earns a monthly return of six basis points …

We provide a broad empirical investigation of momentum strategies in the foreign exchange
market. We find a significant cross-sectional spread in excess returns of up to 10% per …

The downside risk capital asset pricing model (DR-CAPM) can price the cross section of
currency returns. The market-beta differential between high and low interest rate currencies …

What drives exchange rate volatility, and what are the effects of fluctuations in the exchange
rate on economic growth in Ghana? These questions are the subject matter of this study …

We identify a “slope” factor in exchange rates. High interest rate currencies load more on this
slope factor than low interest rate currencies. This factor accounts for most of the cross …