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A Habit‐Based Explanation of the Exchange Rate Risk Premium
8 references·16 citing·43 second hop
A Habit‐Based Explanation of the Exchange Rate Risk Premium (2010)A Habit‐Based Explanation of the Exchange…Can Sticky Price Models Generate Volatile and Persistent Real Exchange Rates? (2002)Can Sticky Price Models Gener…Habit Persistence, Asset Returns, and the Business Cycle (2001)Habit Persistence, Asset Retu…Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)Monetary Policy Rules and Mac…Chapter 1 Business cycle fluctuations in us macroeconomic time series (1999)Chapter 1 Business cycle fluc…Discretion versus policy rules in practice (1993)Discretion versus policy rule…Consumption and real exchange rates in dynamic economies with non-traded goods (1993)Consumption and real exchange…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Forward and spot exchange rates (1984)Forward and spot exchange rat…Macro-Finance (2017)Macro-FinanceExchange Rates, Interest Rates, and the Risk Premium (2016)Exchange Rates, Interest Rate…The common factor in idiosyncratic volatility: Quantitative asset pricing implications (2015)The common factor in idiosync…Rare Disasters and Exchange Rates * (2015)Rare Disasters and Exchange R…International Liquidity and Exchange Rate Dynamics * (2015)International Liquidity and E…Crash-neutral currency carry trades (2014)Crash-neutral currency carry …Noise as Information for Illiquidity (2013)Noise as Information for Illi…Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums (2013)Liquidity in the Foreign Exch…Countercyclical currency risk premia (2013)Countercyclical currency risk…Carry Trades and Global Foreign Exchange Volatility (2012)Carry Trades and Global Forei…A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets (2012)A Long-Run Risks Explanation …The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk: Comment (2011)The Cross Section of Foreign …Common Risk Factors in Currency Markets (2011)Common Risk Factors in Curren…Infrequent Portfolio Decisions: A Solution to the Forward Discount Puzzle (2010)Infrequent Portfolio Decision…Do Peso Problems Explain the Returns to the Carry Trade? 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this work references cited by second hop

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1993Discretion versus policy rules in practice9,059 cited
  • 2000Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*4,631 cited
  • 1984Forward and spot exchange rates2,167 cited
  • 2002Can Sticky Price Models Generate Volatile and Persistent Real Exchange Rates?1,142 cited
  • 2001Habit Persistence, Asset Returns, and the Business Cycle1,049 cited
  • 1993Consumption and real exchange rates in dynamic economies with non-traded goods750 cited
  • 1999Chapter 1 Business cycle fluctuations in us macroeconomic time series519 cited

Cited by

  • 2011Common Risk Factors in Currency Markets1,079 cited
  • 2012Carry Trades and Global Foreign Exchange Volatility925 cited
  • 2015International Liquidity and Exchange Rate Dynamics *821 cited
  • 2005Financial Markets and the Real Economy572 cited
  • 2012A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets531 cited
  • 2010Do Peso Problems Explain the Returns to the Carry Trade?522 cited
  • 2013Noise as Information for Illiquidity475 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2011The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk: Comment472 cited
  • 2015Rare Disasters and Exchange Rates *436 cited
  • 2015The common factor in idiosyncratic volatility: Quantitative asset pricing implications401 cited
  • 2010Infrequent Portfolio Decisions: A Solution to the Forward Discount Puzzle368 cited
  • 2013Countercyclical currency risk premia360 cited
  • 2016Exchange Rates, Interest Rates, and the Risk Premium346 cited
  • 2017Macro-Finance337 cited
  • 2013Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums320 cited
  • 2014Crash-neutral currency carry trades319 cited