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Journal of Financial Economics, ISSN 0304-405X, 03/2014, Volume 111, Issue 3, pp. 527 - 553
We describe a novel currency investment strategy, the ‘dollar carry trade,’ which delivers large excess returns, uncorrelated with the returns on well-known... 
Exchange rates | Risk | Forecasting | HABIT | FUNDAMENTALS | EXCHANGE-RATES | INFORMATION | LONG-RUN | RETURNS | EXPLANATION | BUSINESS, FINANCE | TERM STRUCTURE | MODELS | TELL US | ECONOMICS
Journal Article
The American Economic Review, ISSN 0002-8282, 03/2005, Volume 95, Issue 1, pp. 138 - 160
Journal Article
The Review of Financial Studies, ISSN 0893-9454, 4/2012, Volume 25, Issue 4, pp. 1207 - 1254
Theory predicts that funding conditions faced by financial intermediaries are an important limit to arbitrage. We identify and measure the value of funding... 
Shadow banks | Funding | Liquidity | Financial securities | Liquidity premiums | Funding liquidity | Bank liquidity | Financial instruments | Repurchase agreement | Treasury bonds | LIMITS | RATES | BUSINESS, FINANCE | TERM STRUCTURE | INFORMATION | RISK | YIELD SPREADS | TAX | ECONOMICS | MATURITY | DEFAULT
Journal Article
The Review of Financial Studies, ISSN 0893-9454, 02/2018, Volume 31, Issue 2, pp. 399 - 448
A consensus has recently emerged that variables beyond the level, slope, and curvature of the yield curve can help predict bond returns. This paper shows that... 
STOCK RETURN PREDICTABILITY | CONSISTENT COVARIANCE-MATRIX | TESTS | BUSINESS, FINANCE | CONFIDENCE-INTERVALS | DIVIDEND YIELDS | YIELD CURVE | TIME-SERIES | TERM STRUCTURE MODELS | INTEREST-RATES | ECONOMICS | MACRO FACTORS
Journal Article
The Review of Financial Studies, ISSN 0893-9454, 12/2009, Volume 22, Issue 12, pp. 5027 - 5067
Are there important cyclical fluctuations in bond market premiums and, if so, with what macroeconomic aggregates do these premiums vary? We use the methodology... 
Government bonds | Bond markets | Investment risk | Yield | Macroeconomics | Statistical forecasts | Yield curves | Financial bonds | Economic recessions | Forecasting models | RETURN | BUSINESS, FINANCE | NUMBER | TERM STRUCTURE | MODELS | G10 | FORECASTS | G12 | MONETARY-POLICY | ECONOMICS | E0 | E4
Journal Article
Journal of International Economics, ISSN 0022-1996, 05/2013, Volume 90, Issue 1, pp. 17 - 32
We find evidence for time-varying risk premia across international bond markets. Local and global factors jointly predict returns. The global factor is closely... 
Time-varying risk premia | Affine model | Local and global factors | HABIT | YIELD CURVE | INFORMATION | LONG-RUN | EXPECTED RETURNS | PREDICTABILITY | TERM STRUCTURE | MODELS | COMMON | ECONOMICS | STOCKS | Business cycles | Foreign securities | Financial markets
Journal Article
Review of Finance, ISSN 1572-3097, 03/2018, Volume 22, Issue 2, pp. 419 - 454
We measure credit risk premia-prices for bearing corporate default risk in excess of expected default losses-using Markit CDS and Moody's Analytics EDF data.... 
CDS | Credit risk premia | Credit ratings | EMPIRICAL-ANALYSIS | LIQUIDITY | DETERMINANTS | YIELD SPREADS | PREDICTION | BUSINESS, FINANCE | CAPITAL STRUCTURE | TERM STRUCTURE | SPREAD PUZZLE | BONDS | ECONOMICS | DEFAULT SWAP MARKET
Journal Article
The Journal of Finance, ISSN 0022-1082, 12/2014, Volume 69, Issue 6, pp. 2419 - 2469
Journal Article
Journal of International Money and Finance, ISSN 0261-5606, 04/2014, Volume 42, pp. 9 - 37
If commercial producers or financial investors use futures contracts to hedge against commodity price risk, the arbitrageurs who take the other side of the... 
Oil prices | Affine term structure models | Futures risk premium | Speculation | HEDGING PRESSURE | MARKETS | RETURNS | TERM STRUCTURE MODELS | COMMODITY FUTURES | AFFINE MODELS | BUSINESS, FINANCE | NORMAL BACKWARDATION | DYNAMICS | Prices and rates | Hedging (Finance) | Algorithms | Petroleum industry | Petroleum | Commodity futures
Journal Article
Journal of Money, Credit and Banking, ISSN 0022-2879, 12/2018, Volume 50, Issue 8, pp. 1827 - 1850
We assess the relationship between monetary policy, foreign exchange risk premia, and term premia including the period at the zero lower bound (ZLB). We... 
monetary policy shocks | external instruments | E58 | federal reserve | ANNOUNCEMENTS | MARKET | EXCHANGE-RATES | PUZZLES | FOREIGN-EXCHANGE | SHOCKS | BUSINESS, FINANCE | SURPRISES | EMPIRICAL-EVIDENCE | ECONOMICS | TIME PRICE DISCOVERY | TERM INTEREST-RATES | Economic models | Foreign exchange rates | Risk assessment | Monetary policy | Risk premiums | Foreign exchange | Interest rates
Journal Article
The American Economic Review, ISSN 0002-8282, 3/2007, Volume 97, Issue 1, pp. 89 - 117
Journal Article
Journal of Economic Surveys, ISSN 0950-0804, 12/2018, Volume 32, Issue 5, pp. 1326 - 1354
This paper provides an overview of studies that estimate the inflation risk premium using inflation‐linked bond (ILB) yields. I categorize existing studies,... 
Break‐even inflation rate | Inflation‐linked bonds | Inflation risk premium | Treasury inflation‐protected securities | Treasury inflation-protected securities | Inflation-linked bonds | Break-even inflation rate | ZERO | YIELD CURVE | INDEXED BONDS | REAL RATES | MODEL | TERM-STRUCTURE | INTEREST-RATES | ECONOMICS | EXPECTATIONS | TIPS | Bonds | Economic models | Inflation | Risk premiums
Journal Article
The American Economic Review, ISSN 0002-8282, 6/2011, Volume 101, Issue 4, pp. 1514 - 1534
This paper provides cross-country empirical evidence on term premia. I construct a panel of zero-coupon nominal government bond yields spanning ten... 
Datasets | Economic models | Economic expectations | Economic surveys | Inflation rates | Shorter Papers | Macroeconomics | Yield curves | Gross domestic product | Interest rates | Economic inflation | DYNAMICS | ECONOMICS | EXPECTATIONS | MARKETS | Surveys | Inflation (Finance) | Research | Yield (Investments) | Industrial nations | Studies | Bond markets | Inflation | Monetary theory | Monetary policy
Journal Article
Journal of International Economics, ISSN 0022-1996, 09/2015, Volume 97, Issue 1, pp. 178 - 192
Due to the US dollar's dominant role for international trade and finance, risk-free assets denominated in US currency not only offer a pecuniary return, but... 
Monetary policy shocks | Liquidity premia | Uncovered interest rate parity | Exchange rate dynamics | MODELS | EXCHANGE-RATES | MONETARY-POLICY | ECONOMICS | SHOCKS | DEBT | Monetary policy | International trade | Analysis | Interest rates
Journal Article
Journal of Banking and Finance, ISSN 0378-4266, 2009, Volume 33, Issue 12, pp. 2333 - 2345
Journal Article
The Review of Financial Studies, ISSN 0893-9454, 9/2015, Volume 28, Issue 9, pp. 2608 - 2642
Reduced-form models of default that attribute a large fraction of credit spreads to compensation for credit-event risk typically preclude the most plausible... 
EMPIRICAL-ANALYSIS | BUSINESS, FINANCE | CORPORATE YIELD SPREADS | TERM STRUCTURE | CAPITAL STRUCTURE | EQUITY PREMIUM | DEFAULTABLE SECURITIES | COUNTERPARTY RISK | INTEREST-RATES | ECONOMICS | FINANCIAL CONTAGION | CORRELATED DEFAULT
Journal Article
European Economic Review, ISSN 0014-2921, 02/2013, Volume 58, pp. 58 - 80
Based on expectations data from the Survey of Professional Forecasters (SPF), we construct a real-time proxy for expected term premium changes of US long-term... 
Time-varying risk premia | Macroeconomic uncertainty | Bond risk premia | Expectations hypothesis | Term premia | Forecast dispersion | HABIT | INFLATION RISK PREMIA | YIELD CURVE | FORECAST UNCERTAINTY | MODEL | SPECIFICATION | PANEL-DATA | BOND YIELDS | DYNAMICS | ECONOMICS | Treasury securities
Journal Article