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2002, ISBN 9780521485845, xii, 318
In the last few decades exchange rate economics has seen a number of developments, with substantial contributions to both the theory and empirics of exchange... 
Foreign exchange rates | Economics | Foreign exchange
Book
2014, Macroeconomic policy making, ISBN 9781107044555, xxiii, 545
Changes in the shape of the yield curve have traditionally been one of the key macroeconomic indicators of a likely change in economic outlook. However, the... 
Monetary policy | Macroeconomics | Finance & Accounting | Mathematical models | Interest rates
Book
The Journal of Finance, ISSN 0022-1082, 4/2012, Volume 67, Issue 2, pp. 681 - 718
We investigate the relation between global foreign exchange (FX) volatility risk and the cross section of excess returns arising from popular strategies that... 
Developed countries | International trade | Investment risk | Price volatility | Predisposing factors | Currency | Liquidity | Financial portfolios | Liquidity risk | Interest rates | EXPLANATION | BUSINESS, FINANCE | LIQUIDITY | RETURNS | COMPONENTS | RISK | ECONOMICS | CROSS-SECTION | HETEROSKEDASTICITY | EQUITY | Economic policy | Central banks | Foreign exchange | Carry trades
Journal Article
Canadian Journal of Economics, ISSN 0008-4085, 08/2005, Volume 38, Issue 3, pp. 673 - 708
Journal Article
2001, Princeton studies in international economics, ISBN 9780881652611, Volume no. 89, 58
Book
Journal of Financial Economics, ISSN 0304-405X, 10/2019
Journal Article
International Economic Review, ISSN 0020-6598, 11/2001, Volume 42, Issue 4, pp. 1015 - 1042
Journal Article
Journal of Money, Credit, and Banking, ISSN 0022-2879, 03/2014, Volume 46, Issue 2-3, p. 267
  Standard present-value models suggest that exchange rates are driven by expected future fundamentals, implying that exchange rates contain information about... 
Studies | Gross Domestic Product--GDP | Economic models | Foreign exchange rates | Predictions | Risk premiums
Journal Article
Journal of Financial Economics, ISSN 0304-405X, 12/2012, Volume 106, Issue 3, pp. 660 - 684
We provide a broad empirical investigation of momentum strategies in the foreign exchange market. We find a significant cross-sectional spread in excess... 
Carry trades | Limits to arbitrage | Momentum returns | Idiosyncratic volatility | BUSINESS-CYCLE | PROFITABILITY | TECHNICAL ANALYSIS | PERFORMANCE | CARRY TRADE | FOREIGN-EXCHANGE MARKET | RISK | CROSS-SECTION | BUSINESS, FINANCE | EXPECTED STOCK RETURNS | ECONOMICS | TRADING-RULE PROFITS | Economic policy | Foreign exchange | Financial markets
Journal Article
The Review of Financial Studies, ISSN 0893-9454, 9/2009, Volume 22, Issue 9, pp. 3491 - 3530
Journal Article
Journal of the European Economic Association, ISSN 1542-4766, 6/2009, Volume 7, Issue 4, pp. 786 - 830
Using novel real- time data on a broad set of economic fundamentals for five major US dollar exchange rates over the recent float, we employ a predictive... 
Exchange rates | Economic models | Null hypothesis | Foreign exchange rates | Economic forecasting models | Random walk | Predictive modeling | Modeling | Analytical forecasting | Forecasting models | CURRENCY | SAMPLE | TERM STRUCTURE | MONETARY FUNDAMENTALS | RATE DYNAMICS | RATE MODELS | LONG-HORIZON REGRESSIONS | RATE PREDICTABILITY | ECONOMICS | FOREIGN-EXCHANGE | PREDICTIVE ABILITY
Journal Article
Journal of Financial Economics, ISSN 0304-405X, 04/2016, Volume 120, Issue 1, p. 21
  We discover a new currency strategy with highly desirable return and diversification properties, which uses the predictive ability of currency volatility... 
Studies | Currency transactions | Foreign exchange rates | Volatility | Rates of return | Risk premiums
Journal Article
Review of financial studies, ISSN 0893-9454, 08/2016, Volume 29, Issue 8, pp. 2161 - 2161
We show that a global imbalance risk factor that captures the spread in countries' external imbalances and their propensity to issue external liabilities in... 
Studies | Securities markets | Risk premiums
Journal Article
The Review of Financial Studies, ISSN 0893-9454, 08/2016, Volume 29, Issue 8, p. 2161
  We show that a global imbalance risk factor that captures the spread in countries' external imbalances and their propensity to issue external liabilities in... 
Studies | Foreign exchange rates | Economic theory | Securities markets | Risk premiums | Capital movement
Journal Article
Journal of Financial Economics, ISSN 0304-405X, 04/2016, Volume 120, Issue 1, pp. 21 - 40
We discover a new currency strategy with highly desirable return and diversification properties, which uses the predictive ability of currency volatility risk... 
Exchange rates | Volatility risk premium | Efficient currency portfolios | Predictability | PRICES | INFORMATION | RETURNS | CROSS-SECTION | OPTIONS | FOREIGN-CURRENCY RISK | BUSINESS, FINANCE | EQUILIBRIUM | DYNAMICS | ARBITRAGE | ECONOMICS | HETEROSKEDASTICITY | Seminars | Business schools | Prices and rates | Economic policy | Conferences and conventions | Foreign exchange | Endowments
Journal Article
Journal of Economic Literature, ISSN 0022-0515, 9/2001, Volume 39, Issue 3, pp. 839 - 868
Journal Article
Journal of International Money and Finance, ISSN 0261-5606, 09/2012, Volume 31, Issue 5, pp. 1299 - 1318
How did the Subprime Crisis, a problem in a small corner of U.S. financial markets, affect the entire global banking system? To shed light on this question we... 
Common factors | Subprime Crisis | Credit default swap | SHORT-TERM RATES | TESTS | FINANCIAL ACCELERATOR | NUMBER | LIQUIDITY | DETERMINANTS | MODEL | BUSINESS, FINANCE | CONDITIONAL HETEROSKEDASTICITY | EQUITY VOLATILITY | SELECTION | Swaps (Finance) | Financial markets | Subprime loans | Bank loans | Banking industry | Securities industry | Economic policy | Banks (Finance) | Credit default swaps
Journal Article
Earthquake Engineering & Structural Dynamics, ISSN 0098-8847, 06/2016, Volume 45, Issue 7, pp. 1041 - 1061
Journal Article