The share of systematic variation in bilateral exchange rates
A Verdelhan - The Journal of Finance, 2018 - Wiley Online Library
Sorting countries by their dollar currency betas produces a novel cross section of average
currency excess returns. A slope factor (long in high beta currencies and short in low beta …
currency excess returns. A slope factor (long in high beta currencies and short in low beta …
The term structure of currency carry trade risk premia
H Lustig, A Stathopoulos, A Verdelhan - American Economic Review, 2019 - aeaweb.org
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 …
of the foreign bonds increases. Across developed countries, the local currency term premia …
Why do term structures in different currencies co-move?
Yield curve fluctuations across different currencies are highly correlated. This paper
investigates this phenomenon by exploring the channels through which macroeconomic …
investigates this phenomenon by exploring the channels through which macroeconomic …
Does incomplete spanning in international financial markets help to explain exchange rates?
H Lustig, A Verdelhan - American Economic Review, 2019 - aeaweb.org
We assume that domestic (foreign) agents, when investing abroad, can only trade in the
foreign (domestic) risk-free rates. In a preference-free environment, we derive the exchange …
foreign (domestic) risk-free rates. In a preference-free environment, we derive the exchange …
International house price cycles, monetary policy and credit
GH Bauer - Journal of International Money and Finance, 2017 - Elsevier
We evaluate three alternative predictors of house price corrections: anticipated tightenings
of monetary policy, deviations of house prices from fundamentals, and rapid credit growth. A …
of monetary policy, deviations of house prices from fundamentals, and rapid credit growth. A …
An international dynamic term structure model with economic restrictions and unspanned risks
G Bauer, A Diez de los Rios - 2012 - banqueducanada.ca
We construct a multi-country affine term structure model that contains unspanned
macroeconomic and foreign exchange risks. The canonical version of the model is derived …
macroeconomic and foreign exchange risks. The canonical version of the model is derived …
[PDF][PDF] Nominal exchange rate stationarity and long-term bond returns
H Lustig, A Stathopoulos, A Verdelhan - Available at SSRN, 2016 - aeaweb.org
When markets are complete, exchange rates correspond to the ratio of domestic and foreign
pricing kernels. When the martingale components of the pricing kernels are the same across …
pricing kernels. When the martingale components of the pricing kernels are the same across …
International yield curves and currency puzzles
The currency depreciation rate is often computed as the ratio of foreign to domestic pricing
kernels. Using bond prices alone to estimate these kernels leads to currency puzzles: the …
kernels. Using bond prices alone to estimate these kernels leads to currency puzzles: the …
[PDF][PDF] Optimal estimation of multi-country Gaussian dynamic term structure models using linear regressions
A Diez de los Rios - 2017 - bankofcanada.ca
This paper proposes a novel asymptotic least-squares estimator of multi-country Gaussian
dynamic term structure models that is easy to compute and asymptotically efficient, even …
dynamic term structure models that is easy to compute and asymptotically efficient, even …
International yield curves and currency puzzles
The depreciation rate is often computed as the ratio of foreign and domestic pricing kernels.
Using bond prices alone to estimate these kernels leads to currency puzzles: the inability of …
Using bond prices alone to estimate these kernels leads to currency puzzles: the inability of …