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Business cycles and currency returns
16 references·7 citing·43 second hop
Business cycles and currency returns (2020)Business cycles and currency returnsInternational Liquidity and Exchange Rate Dynamics * (2015)International Liquidity and E…Value and Momentum Everywhere (2013)Value and Momentum EverywhereCarry Trades and Global Foreign Exchange Volatility (2012)Carry Trades and Global Forei…Time Series Momentum (2011)Time Series MomentumCommon Risk Factors in Currency Markets (2011)Common Risk Factors in Curren…A skeptical appraisal of asset pricing tests☆ (2009)A skeptical appraisal of asse…Carry Trades and Currency Crashes (2008)Carry Trades and Currency Cra…Measuring Business Cycles: Approximate Band-Pass Filters for Economic Time Series (1999)Measuring Business Cycles: Ap…Monetary policy rules in practice (1998)Monetary policy rules in prac…Postwar U.S. Business Cycles: An Empirical Investigation (1997)Postwar U.S. Business Cycles:…Assessing Specification Errors in Stochastic Discount Factor Models (1997)Assessing Specification Error…The Conditional CAPM and the Cross-Section of Expected Returns (1996)The Conditional CAPM and the …Exchange rates and fundamentals: Evidence on long-horizon predictability (1995)Exchange rates and fundamenta…Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Substitution, Risk Aversion, …The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models (1987)The Role of Conditioning Info…Empirical exchange rate models of the seventies (1983)Empirical exchange rate model…Geopolitical risk and currency returns (2024)Geopolitical risk and currenc…Demand uncertainty, inventory, and cost structure (2023)Demand uncertainty, inventory…Currency Risk Premiums Redux (2023)Currency Risk Premiums ReduxHow many fundamentals should we include in the behavioral equilibrium exchange rate model? (2022)How many fundamentals should …A reconsideration of the failure of uncovered interest parity for the U.S. dollar (2022)A reconsideration of the fail…Dissecting currency momentum (2021)Dissecting currency momentumEquity premium prediction and the state of the economy (2020)Equity premium prediction and…Expectations and Exchange Rate Dynamics (1976)Macroeconomics and Reality (1980)The Purchasing Power Parity Puzzle (1996)Monetary Theory and Policy (1999)Forecasting Economic Time Series (2000)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)Asset Prices in an Exchange Economy (1978)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)The Dual Theory of Choice under Risk (1987)Dynamic Asset Pricing Theory. (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Investor Psychology and Asset Pricing (2001)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)The Band Pass Filter (1999)On Adjusting the Hodrick-Prescott Filter for the Frequency of Observations (2002)Measuring Uncertainty (2015)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)… and the Cross-Section of Expected Returns (2015)On Persistence in Mutual Fund Performance (1997)Does Academic Research Destroy Stock Return Predictability? (2015)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)An Empirical Characterization of the Dynamic Effects of Changes in Government Spending and Taxes on Output (2002)Discretion versus policy rules in practice (1993)The Science of Monetary Policy: A New Keynesian Perspective (1999)An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area (2003)Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2007)The equity premium: A puzzle (1985)Liquidity Risk and Expected Stock Returns (2003)Organization Capital and the Cross‐Section of Expected Returns (2013)Expectations of Returns and Expected Returns (2014)The Asset-Pricing Implications of Government Economic Policy Uncertainty (2015)Risk, Return, and Equilibrium: Empirical Tests (1973)A Theory of the Term Structure of Interest Rates (1985)Climate risks and market efficiency (2018)Risks and Returns of Cryptocurrency (2020)Judgment under Uncertainty: Heuristics and Biases (1974)Judgment under Uncertainty: Heuristics and Biases (1975)Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)
this work references cited by second hop

References

  • 1997Postwar U.S. Business Cycles: An Empirical Investigation7,358 cited
  • 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework4,270 cited
  • 1983Empirical exchange rate models of the seventies4,115 cited
  • 1999Measuring Business Cycles: Approximate Band-Pass Filters for Economic Time Series2,829 cited
  • 1996The Conditional CAPM and the Cross-Section of Expected Returns2,537 cited
  • 2013Value and Momentum Everywhere2,225 cited
  • 1998Monetary policy rules in practice2,206 cited
  • 2011Time Series Momentum1,470 cited
  • 2009A skeptical appraisal of asset pricing tests☆1,204 cited
  • 2011Common Risk Factors in Currency Markets1,079 cited
  • 1995Exchange rates and fundamentals: Evidence on long-horizon predictability1,044 cited
  • 1987The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models980 cited
  • 2012Carry Trades and Global Foreign Exchange Volatility925 cited
  • 2015International Liquidity and Exchange Rate Dynamics *821 cited
  • 2008Carry Trades and Currency Crashes792 cited

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1997
Assessing Specification Errors in Stochastic Discount Factor Models
768 cited

Cited by

  • 2023Currency Risk Premiums Redux48 cited
  • 2024Geopolitical risk and currency returns38 cited
  • 2021Dissecting currency momentum33 cited
  • 2022A reconsideration of the failure of uncovered interest parity for the U.S. dollar30 cited
  • 2020Equity premium prediction and the state of the economy27 cited
  • 2023Demand uncertainty, inventory, and cost structure15 cited
  • 2022How many fundamentals should we include in the behavioral equilibrium exchange rate model?14 cited