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Rare Disasters and Exchange Rates *

https://doi.org/10.1093/qje/qjv040
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/jae.624openalex-snapshot
Rethinking an old empirical puzzle: econometric evidence on the forward discount anomaly
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Empirical exchange rate models of the seventies
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Do asset-demand functions optimize over the mean and variance of real returns? A six-currency test
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Consumption and real exchange rates in dynamic economies with non-traded goods
inferredcites →https://doi.org/10.1016/0261-5606(96)00008-3openalex-snapshot
A reexamination of the uncovered interest rate parity hypothesis
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Forward and spot exchange rates
inferredcites →https://doi.org/10.1016/0304-3932(88)90172-9openalex-snapshot
The equity risk premium a solution
inferredcites →https://doi.org/10.1016/0304-3932(88)90173-0openalex-snapshot
The equity risk premium: A solution?
inferredcites →https://doi.org/10.1016/0304-405x(77)90014-9openalex-snapshot
Asset returns and inflation
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The forward discount anomaly and the risk premium: A survey of recent evidence
inferredcites →https://doi.org/10.1016/j.jempfin.2010.08.004openalex-snapshot
Stock and Bond Returns with Moody Investors
inferredcites →https://doi.org/10.1016/j.jfineco.2005.05.008openalex-snapshot
Efficient tests of stock return predictability☆
inferredcites →https://doi.org/10.1016/j.jfineco.2006.03.010openalex-snapshot
Stochastic skew in currency options☆
inferredcites →https://doi.org/10.1016/j.jfineco.2013.08.006openalex-snapshot
General equilibrium pricing of currency and currency options
inferredcites →https://doi.org/10.1016/j.jfineco.2014.05.004openalex-snapshot
Crash-neutral currency carry trades
inferredcites →https://doi.org/10.1016/j.jfineco.2014.07.001openalex-snapshot
Conditional risk premia in currency markets and other asset classes
inferredcites →https://doi.org/10.1016/j.jinteco.2011.10.001openalex-snapshot
International risk cycles
inferredcites →https://doi.org/10.1016/j.jmoneco.2005.02.004openalex-snapshot
International risk sharing is better than you think, or exchange rates are too smooth
inferredcites →https://doi.org/10.1016/s0022-1996(99)00039-2openalex-snapshot
The forward premium puzzle: different tales from developed and emerging economies
inferredcites →https://doi.org/10.1016/s0261-5606(83)80001-1openalex-snapshot
Foreign currency option values
inferredcites →https://doi.org/10.1016/s0261-5606(97)00054-5openalex-snapshot
Implied exchange rate distributions: evidence from OTC option markets
inferredcites →https://doi.org/10.1016/s0304-3932(97)00037-8openalex-snapshot
The implications of first-order risk aversion for asset market risk premiums
inferredcites →https://doi.org/10.1086/250059openalex-snapshot
By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior
inferredcites →https://doi.org/10.1086/260910openalex-snapshot
Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis
inferredcites →https://doi.org/10.1086/261838openalex-snapshot
International Real Business Cycles
inferredcites →https://doi.org/10.1086/261997openalex-snapshot
Exchange Rate Dynamics Redux
inferredcites →https://doi.org/10.1086/324389openalex-snapshot
Money, Interest Rates, and Exchange Rates with Endogenously Segmented Markets
inferredcites →https://doi.org/10.1086/431254openalex-snapshot
Large Devaluations and the Real Exchange Rate
inferredcites →https://doi.org/10.1086/521966openalex-snapshot
International Financial Adjustment
inferredcites →https://doi.org/10.1086/593088openalex-snapshot
Carry Trades and Currency Crashes
inferredcites →https://doi.org/10.1086/659238openalex-snapshot
Risks for the Long Run and the Real Exchange Rate
inferredcites →https://doi.org/10.1093/jjfinec/nbp002openalex-snapshot
A New Look at the Forward Premium Puzzle
inferredcites →https://doi.org/10.1093/qje/qjs001openalex-snapshot
Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance *
inferredcites →https://doi.org/10.1093/qje/qjv016openalex-snapshot
International Liquidity and Exchange Rate Dynamics *
inferredcites →https://doi.org/10.1093/revfin/hhm008openalex-snapshot
Asset Prices and Exchange Rates
inferredcites →https://doi.org/10.1093/rfs/8.3.709openalex-snapshot
Do Long-Term Swings in the Dollar Affect Estimates of the Risk Premia?
inferredcites →https://doi.org/10.1093/rfs/9.2.427openalex-snapshot
The Time Variation of Risk and Return in Foreign Exchange Markets: A General Equilibrium Perspective
inferredcites →https://doi.org/10.1093/rfs/hhj008openalex-snapshot
Exchange Rates, Equity Prices, and Capital Flows
inferredcites →https://doi.org/10.1093/rfs/hhq138openalex-snapshot
Do Peso Problems Explain the Returns to the Carry Trade?
inferredcites →https://doi.org/10.1093/rfs/hhr068openalex-snapshot
Common Risk Factors in Currency Markets
inferredcites →https://doi.org/10.1093/rfs/hhs108openalex-snapshot
A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets
inferredcites →https://doi.org/10.1093/rfs/hhu043openalex-snapshot
Asset Prices and Real Exchange Rates with Deep Habits
inferredcites →https://doi.org/10.1093/rfs/hhw074openalex-snapshot
Asset Prices and Risk Sharing in Open Economies
inferredcites →https://doi.org/10.1111/0022-1082.00161openalex-snapshot
Optimal Investment, Growth Options, and Security Returns
inferredcites →https://doi.org/10.1111/0022-1082.00325openalex-snapshot
Affine Term Structure Models and the Forward Premium Anomaly
inferredcites →https://doi.org/10.1111/j.1467-937x.2008.00509.xopenalex-snapshot
The Role of Portfolio Constraints in the International Propagation of Shocks
inferredcites →https://doi.org/10.1111/j.1467-937x.2009.00537.xopenalex-snapshot
Time-Varying Risk, Interest Rates, and Exchange Rates in General Equilibrium
inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb02756.xopenalex-snapshot
An Examination of Uncovered Interest Rate Parity in Segmented International Commodity Markets
inferredcites →https://doi.org/10.1111/j.1540-6261.2004.00670.xopenalex-snapshot
Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles
inferredcites →https://doi.org/10.1111/j.1540-6261.2006.00885.xopenalex-snapshot
Investor Sentiment and the Cross‐Section of Stock Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.2009.01525.xopenalex-snapshot
A Habit‐Based Explanation of the Exchange Rate Risk Premium
inferredcites →https://doi.org/10.1111/jofi.12018openalex-snapshot
Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?
inferredcites →https://doi.org/10.1111/jofi.12088openalex-snapshot
International Asset Pricing with Recursive Preferences
inferredcites →https://doi.org/10.1111/jofi.12720openalex-snapshot
Currency Risk Factors in a Recursive Multicountry Economy
inferredcites →https://doi.org/10.1146/annurev-financial-102710-144841openalex-snapshot
Global Asset Pricing
inferredcites →https://doi.org/10.1162/qjec.121.3.823openalex-snapshot
Rare Disasters and Asset Markets in the Twentieth Century*
inferredcites →https://doi.org/10.1162/qjec.2006.121.2.461openalex-snapshot
Institutional Investors and Stock Market Volatility
inferredcites →https://doi.org/10.1162/qjec.2010.125.3.1145openalex-snapshot
Can Exchange Rates Forecast Commodity Prices? *
inferredcites →https://doi.org/10.1257/aer.101.3.406openalex-snapshot
Disasterization: A Simple Way to Fix the Asset Pricing Properties of Macroeconomic Models
inferredcites →https://doi.org/10.1257/aer.101.7.3456openalex-snapshot
The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk: Comment
inferredcites →https://doi.org/10.1257/aer.102.6.2734openalex-snapshot
Disaster Risk and Business Cycles
inferredcites →https://doi.org/10.1257/aer.20141123openalex-snapshot
BKK the EZ Way: International Long-Run Growth News and Capital Flows
inferredcites →https://doi.org/10.1257/aer.96.3.552openalex-snapshot
Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?
inferredcites →https://doi.org/10.1257/aer.97.4.1102openalex-snapshot
Subjective Expectations and Asset-Return Puzzles
inferredcites →https://doi.org/10.1257/aer.98.2.68openalex-snapshot
Disasters and Recoveries
inferredcites →https://doi.org/10.1257/jep.4.3.179openalex-snapshot
Anomalies: Foreign Exchange
inferredcites →https://doi.org/10.1257/mac.5.3.35openalex-snapshot
Crises and Recoveries in an Empirical Model of Consumption Disasters
inferredcites →https://doi.org/10.1353/eca.0.0000openalex-snapshot
Macroeconomic Crises since 1870
inferredcites →https://doi.org/10.17016/ifdp.1979.139openalex-snapshot
Testing for Rational Expectations in Foreign Exchange Markets
inferredcites →https://doi.org/10.2139/ssrn.1107477openalex-snapshot
Equilibrium Portfolios and External Adjustment Under Incomplete Markets
inferredcites →https://doi.org/10.2139/ssrn.1343987openalex-snapshot
Crash Risk in Currency Markets
inferredcites →https://doi.org/10.2139/ssrn.1596283openalex-snapshot
The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: A Comment
inferredcites →https://doi.org/10.2139/ssrn.2177231openalex-snapshot
BKK the EZ Way: International Long-Run Growth News and Capital Flows
inferredcites →https://doi.org/10.2139/ssrn.2542182openalex-snapshot
Currency Risk Factors in a Recursive Multi-Country Economy
inferredcites →https://doi.org/10.2139/ssrn.313205openalex-snapshot
An Equilibrium Model of Rare Event Premia
inferredcites →https://doi.org/10.2307/1911242openalex-snapshot
A Theory of the Term Structure of Interest Rates
inferredcites →https://doi.org/10.2307/1913778openalex-snapshot
Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
inferredcites →https://doi.org/10.2307/2937838openalex-snapshot
Forward Discount Bias: Is it an Exchange Risk Premium?
inferredcites →https://doi.org/10.3386/w10723openalex-snapshot
Exchange Rates and Fundamentals
inferredcites →https://doi.org/10.3386/w11155openalex-snapshot
International Financial Adjustment
inferredcites →https://doi.org/10.3386/w11563openalex-snapshot
From World Banker to World Venture Capitalist: US External Adjustment and the Exorbitant Privilege
inferredcites →https://doi.org/10.3386/w11699openalex-snapshot
The Importance of Nontradable Goods' Prices in Cyclical Real Exchange Rate Fluctuations
inferredcites →https://doi.org/10.3386/w11840openalex-snapshot
The Information in Long-Maturity Forward Rates: Implications for Exchange Rates and the Forward Premium Anomaly
inferredcites →https://doi.org/10.3386/w12609openalex-snapshot
Equilibrium Yield Curves
inferredcites →https://doi.org/10.3386/w13278openalex-snapshot
Understanding the Forward Premium Puzzle: A Microstructure Approach
inferredcites →https://doi.org/10.3386/w13318openalex-snapshot
Exchange Rate Models Are Not as Bad as You Think
inferredcites →https://doi.org/10.3386/w13430openalex-snapshot
Linearity-Generating Processes: A Modelling Tool Yielding Closed Forms for Asset Prices
inferredcites →https://doi.org/10.3386/w13940openalex-snapshot
Macroeconomic Crises since 1870
inferredcites →https://doi.org/10.3386/w15062openalex-snapshot
Crash Risk in Currency Markets
inferredcites →https://doi.org/10.3386/w15247openalex-snapshot
On the Size Distribution of Macroeconomic Disasters
inferredcites →https://doi.org/10.3386/w17564openalex-snapshot
The Forward Premium Puzzle in a Two-Country World
inferredcites →https://doi.org/10.3386/w19623openalex-snapshot
The Term Structure of Currency Carry Trade Risk Premia
inferredcites →https://doi.org/10.3386/w20294openalex-snapshot
Forward and Spot Exchange Rates in a Multi-currency World
inferredcites →https://doi.org/10.3386/w3279openalex-snapshot
Asset Prices under Habit Formation and Catching up with the Joneses
inferredcites →https://doi.org/10.3386/w4951openalex-snapshot
Puzzles in International Financial Markets
inferredcites →https://doi.org/10.3386/w5394openalex-snapshot
Accounting for U.S. Real Exchange Rate Changes
inferredcites →https://doi.org/10.3386/w7169openalex-snapshot
New Facts in Finance
inferredcites →https://doi.org/10.3386/w7777openalex-snapshot
The Six Major Puzzles in International Macroeconomics: Is There a Common Cause?
inferredcites →https://doi.org/10.3982/ecta8827openalex-snapshot
On the Size Distribution of Macroeconomic Disasters
inferredcites →https://doi.org/10.7551/mitpress/4602.001.0001openalex-snapshot
The Microstructure Approach to Exchange Rates

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

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Exchange Rates under Robustness: An Account of the Forward Premium Puzzle
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The Determinants of Carry Trade Risk Premia
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Mutual Fund Performance and Embedded Currency Risk
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Currency Risk Factors in a Recursive Multi-Country Economy
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The Commodity Currency Puzzle
inferred← citeshttps://doi.org/10.2139/ssrn.2695343openalex-extracted
Volatility Risk Pass-Through
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When the Walk is Not Random: Commodity Prices and Exchange Rates
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On the Relation between Linearity-Generating Processes and Linear-Rational Models
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The Time-Varying Risk of Macroeconomic Disasters
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Empirical Asset Pricing with Multi-Period Disasters and Partial Government Defaults
inferred← citeshttps://doi.org/10.2139/ssrn.2837461openalex-extracted
The Multiplicative Wedge Approach to Incomplete Markets and the Trifecta of Exchange Rate Puzzles
inferred← citeshttps://doi.org/10.2139/ssrn.2844663openalex-extracted
Dynamic Interactions between Government Bonds and Exchange Rate Expectations in Currency Options
inferred← citeshttps://doi.org/10.2139/ssrn.2846134openalex-extracted
Exchange Rate Exposure and Firm Dynamics
inferred← citeshttps://doi.org/10.2139/ssrn.2878748openalex-extracted
Common Information in Carry Trade Risk Factors
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Business Cycles and the Cross-Section of Currency Returns
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Order Flows, Differential Risk Premiums, and the UIP Puzzle
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Exchange Rates, Interest Rates and the Global Carry Trade
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An Approach to Measure the Expectation of Generic Functions of the Market Return
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The World Price of Rare Disaster
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Model-Free International Stochastic Discount Factors
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Foreign Currency Lending
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War with Sovereign Debt
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'Superstitious' Investors
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Cross-Currency Consistency, Three-Part SDF Factorizations, and an Impossibility Theorem for the Stationarity of Exchange Rates in International Economies
inferred← citeshttps://doi.org/10.2139/ssrn.3257996openalex-extracted
Cross-Currency Consistency, Three-Part SDF Factorizations, and an Impossibility Theorem for the Stationarity of Exchange Rates in International Economies
inferred← citeshttps://doi.org/10.2139/ssrn.3260167openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.3290368openalex-extracted
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Empirical Asset Pricing with Multi-Period Disaster Risk: A Simulation-Based Approach
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A 'Bad Beta, Good Beta' Anatomy of Currency Risk Premiums and Trading Strategies
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Origins of International Factor Structures
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Slowly Unfolding Disasters
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Does Bitcoin Behave As a Currency?: A Standard Monetary Model Approach
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The Cross-Section of Returns: A Non-Parametric Approach
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Interest Rate Differentials and the Dynamic Asymmetry of Exchange Rates
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inferred← citeshttps://doi.org/10.2139/ssrn.3560587openalex-extracted
Media Tone Goes Viral: Global Evidence from the Currency Market
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The Hedging Channel of Exchange Rate Determination *
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Crude Oil Price Dynamics With Crash Risk Under Fundamental Shocks
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Long-Term Foreign Exchange Risk Premia and Inflation Risk
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Corporate Balance Sheets and Sovereign Risk Premia
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Trade Imbalance Network and Currency Risk Premia
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Macroeconomic Risks Across the Globe due to the Spanish Flu
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Common Idiosyncratic Volatility and Carry Trade Returns
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Tail Risk and Expectations
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Antinoise
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A Note on Additional Materials for "Macro-Finance Decoupling: Robust Evaluations of Macro Asset Pricing Models"
inferred← citeshttps://doi.org/10.2139/ssrn.3790438openalex-extracted
Conditional Skewness in Currency Markets
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Macroeconomic Disasters and Forward-Looking Consumers: Historical Evidence and Evidence from the COVID-19 Pandemic
inferred← citeshttps://doi.org/10.2139/ssrn.3830716openalex-extracted
UIP deviations: Insights from Event Studies
inferred← citeshttps://doi.org/10.2139/ssrn.3852298openalex-extracted
Convenience Yields and Exchange Rate Puzzles
inferred← citeshttps://doi.org/10.2139/ssrn.3861805openalex-extracted
Market Incompleteness and Exchange Rate Spill-over
inferred← citeshttps://doi.org/10.2139/ssrn.3864393openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.3872077openalex-extracted
The Role of Beliefs in Asset Prices: Evidence from Exchange Rates
inferred← citeshttps://doi.org/10.2139/ssrn.3924044openalex-extracted
Climate Change and Fiscal Sustainability: Risks and Opportunities
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Foreign Vulnerabilities, Domestic Risks: The Global Drivers of GDP-at-Risk
inferred← citeshttps://doi.org/10.2139/ssrn.3929756openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.3945075openalex-extracted
Benchmark Currency Stochastic Discount Factors
inferred← citeshttps://doi.org/10.2139/ssrn.3962478openalex-extracted
Currency Risk and Capital Accumulation
inferred← citeshttps://doi.org/10.2139/ssrn.3984900openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.4007618openalex-extracted
Risk-Corrected Probabilities of a Binary Event
inferred← citeshttps://doi.org/10.2139/ssrn.4015823openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.4018395openalex-extracted
Permanent Income Hypothesis with Income Disaster and Asset Pricing
inferred← citeshttps://doi.org/10.2139/ssrn.4057287openalex-extracted
International Capital Markets and Wealth Transfers
inferred← citeshttps://doi.org/10.2139/ssrn.4060222openalex-extracted
Costs of Proximity to War Zones: Stock Market Responses to the Russian Invasion of Ukraine
inferred← citeshttps://doi.org/10.2139/ssrn.4070394openalex-extracted
Interest Rate Uncertainty as a Policy Tool?
inferred← citeshttps://doi.org/10.2139/ssrn.4098947openalex-extracted
King U.S. Dollar, Global Risks, and Currency Option Premiums
inferred← citeshttps://doi.org/10.2139/ssrn.4128178openalex-extracted
Crises Do Rhyme: Identifying Shocks to Systematic Risk in Times of Crisis
inferred← citeshttps://doi.org/10.2139/ssrn.4184305openalex-extracted
Origins of International Factor Structures
inferred← citeshttps://doi.org/10.2139/ssrn.4189008openalex-extracted
Time-Varying Disaster Risk and Investment Horizons
inferred← citeshttps://doi.org/10.2139/ssrn.4229006openalex-extracted
Inelastic Financial Markets and Foreign Exchange Interventions
inferred← citeshttps://doi.org/10.2139/ssrn.4304945openalex-extracted
Sustainability with Risky Growth
inferred← citeshttps://doi.org/10.2139/ssrn.4437511openalex-extracted
Optimal Consumption and Investment Decisions with Disastrous Income Risk: Revisiting Rietz's Rare Disaster Risk Hypothesis
inferred← citeshttps://doi.org/10.2139/ssrn.4559293openalex-extracted
The Price of War
inferred← citeshttps://doi.org/10.2139/ssrn.4577393openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.4577434openalex-extracted
Contrarian currency pricing: When risk tells you to expect mispricing
inferred← citeshttps://doi.org/10.2139/ssrn.4580189openalex-extracted
Skewness Risk Premia and the Cross-Section of Currency Returns
inferred← citeshttps://doi.org/10.2139/ssrn.4620172openalex-extracted
Implications of Asset Market Data for Equilibrium Models of Exchange Rates
inferred← citeshttps://doi.org/10.2139/ssrn.4631015openalex-extracted
Implications of Asset Market Data for Equilibrium Models of Exchange Rates
inferred← citeshttps://doi.org/10.2139/ssrn.4649573openalex-extracted
Bundled Risks, Dollar Index Options, and Quantitative Implications for Dynamic Currency Models
inferred← citeshttps://doi.org/10.2139/ssrn.4667334openalex-extracted
Tech Dollars: Technological Innovation and Exchange Rates
inferred← citeshttps://doi.org/10.2139/ssrn.4668578openalex-extracted
Lecture Notes on International Finance
inferred← citeshttps://doi.org/10.2139/ssrn.4680742openalex-extracted
What Drives the Exchange Rate?
inferred← citeshttps://doi.org/10.2139/ssrn.4826043openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.4861441openalex-extracted
Droughts drying up dividends!
inferred← citeshttps://doi.org/10.2139/ssrn.5410363openalex-extracted
inferred← citeshttps://doi.org/10.1002/fut.22198openalex-snapshot
Intermediary asset pricing in currency carry trade returns
inferred← citeshttps://doi.org/10.1002/fut.22256openalex-snapshot
One hundred years of rare disaster concerns and commodity prices
inferred← citeshttps://doi.org/10.1002/fut.70007openalex-snapshot
Cross‐Sectoral Crash Risk and Expected Commodity Futures Returns
inferred← citeshttps://doi.org/10.1002/ijfe.1619openalex-snapshot
Standard and optimized carry trades
inferred← citeshttps://doi.org/10.1002/jae.3111openalex-snapshot
Exchange Rates, Uncovered Interest Parity, and Time‐Varying Fama Regressions
inferred← citeshttps://doi.org/10.1002/rfe.1051openalex-snapshot
The role of time‐varying rare disaster risks in predicting bond returns and volatility
inferred← citeshttps://doi.org/10.1002/sd.2199openalex-snapshot
Bracing for the Typhoon: Climate change and sovereign risk in Southeast Asia
inferred← citeshttps://doi.org/10.1002/wcc.70042openalex-snapshot
From Debt Burden to Climate Burden: A Historical Look at Debt and Climate Change
inferred← citeshttps://doi.org/10.1007/s00181-018-1534-4openalex-snapshot
Can policy shifts explain the forward discount puzzle?
inferred← citeshttps://doi.org/10.1007/s00181-020-02010-2openalex-snapshot
Economic disasters and aggregate investment
inferred← citeshttps://doi.org/10.1007/s00181-022-02209-5openalex-snapshot
A time-varying jump tail risk measure using high-frequency options data
inferred← citeshttps://doi.org/10.1007/s00181-023-02427-5openalex-snapshot
Inverse Balassa–Samuelson effect in Mexico: the role of the oil sector
inferred← citeshttps://doi.org/10.1007/s00199-024-01629-xopenalex-snapshot
Income disaster model with optimal consumption
inferred← citeshttps://doi.org/10.1007/s00780-020-00433-4openalex-snapshot
Asset prices in segmented and integrated markets
inferred← citeshttps://doi.org/10.1007/s10290-024-00539-3openalex-snapshot
Uncertainty and the uncovered interest parity condition: How are they related?
inferred← citeshttps://doi.org/10.1007/s10644-023-09543-3openalex-snapshot
Economic disasters and inequality: a note
inferred← citeshttps://doi.org/10.1007/s11069-020-04100-xopenalex-snapshot
Rare disaster and renewable energy in the USA: new insights from wavelet coherence and rolling-window analysis
inferred← citeshttps://doi.org/10.1007/s11079-023-09738-1openalex-snapshot
Does the Interest Parity Puzzle Hold for Central and Eastern European Economies?
inferred← citeshttps://doi.org/10.1007/s11356-022-20715-yopenalex-snapshot
Downside risk-return volatilities during Covid 19 outbreak: a comparison across developed and emerging markets
inferred← citeshttps://doi.org/10.1007/s11356-022-21718-5openalex-snapshot
Market implied volatility and natural disasters: international evidence
inferred← citeshttps://doi.org/10.1007/s11356-022-22989-8openalex-snapshot
Economics of natural disasters and technological innovations in Africa: an empirical evidence
inferred← citeshttps://doi.org/10.1016/b978-1-78548-201-4.50013-1openalex-snapshot
Optimizing Cross-Asset Carry
inferred← citeshttps://doi.org/10.1016/bs.hesint.2022.03.002openalex-snapshot
International macroeconomics with imperfect financial markets
inferred← citeshttps://doi.org/10.1016/j.bir.2023.01.007openalex-snapshot
Volatility transmitter or receiver? Investigating dynamic connectedness between the carry trade and financial markets
inferred← citeshttps://doi.org/10.1016/j.eap.2021.01.018openalex-snapshot
What is the exchange rate volatility response to COVID-19 and government interventions?
inferred← citeshttps://doi.org/10.1016/j.eap.2021.04.010openalex-snapshot
Systemic risk spillover across global and country stock markets during the COVID-19 pandemic
inferred← citeshttps://doi.org/10.1016/j.eap.2022.06.013openalex-snapshot
Technology shocks, banking sector policy, and the trade-off between firms and households
inferred← citeshttps://doi.org/10.1016/j.eap.2026.07.041openalex-snapshot
Climate change and the real effective exchange rate: Evidence from an open-economy balance-of-payments framework
inferred← citeshttps://doi.org/10.1016/j.econlet.2020.109454openalex-snapshot
Rare disaster concerns and economic fluctuations
inferred← citeshttps://doi.org/10.1016/j.econlet.2021.110099openalex-snapshot
Rare disasters, exchange rates, and macroeconomic policy: Evidence from COVID-19
inferred← citeshttps://doi.org/10.1016/j.econmod.2018.11.004openalex-snapshot
Why does the peso-dollar exchange rate show a depreciation trend? The role of productivity differentials
inferred← citeshttps://doi.org/10.1016/j.econmod.2020.05.018openalex-snapshot
Forecast Performance in Times of Terrorism
inferred← citeshttps://doi.org/10.1016/j.econmod.2022.106185openalex-snapshot
Global uncertainty shocks and exchange-rate expectations in Latin America
inferred← citeshttps://doi.org/10.1016/j.econmod.2023.106494openalex-snapshot
European exchange rate adjustments in response to COVID-19, containment measures and stabilization policies
inferred← citeshttps://doi.org/10.1016/j.econmod.2023.106554openalex-snapshot
On the role of interest rate differentials in the dynamic asymmetry of exchange rates
inferred← citeshttps://doi.org/10.1016/j.ecosys.2022.101000openalex-snapshot
Do the carry trades respond to geopolitical risks? Evidence from BRICS countries
inferred← citeshttps://doi.org/10.1016/j.eneco.2018.08.021openalex-snapshot
Time-varying rare disaster risks, oil returns and volatility
inferred← citeshttps://doi.org/10.1016/j.eneco.2021.105308openalex-snapshot
The impact of extreme events on energy price risk
inferred← citeshttps://doi.org/10.1016/j.eneco.2024.107975openalex-snapshot
Geopolitical risk and energy price crash risk
inferred← citeshttps://doi.org/10.1016/j.eneco.2025.108844openalex-snapshot
Geopolitical uncertainty and firm tail risk: Evidence from energy-focused economies
inferred← citeshttps://doi.org/10.1016/j.euroecorev.2021.103714openalex-snapshot
How puzzling is the forward premium puzzle? A meta-analysis
inferred← citeshttps://doi.org/10.1016/j.finmar.2019.05.002openalex-snapshot
Tales of Tails: Jumps in Currency Markets
inferred← citeshttps://doi.org/10.1016/j.finmar.2022.100760openalex-snapshot
Climate risks and realized volatility of major commodity currency exchange rates
inferred← citeshttps://doi.org/10.1016/j.frl.2019.101314openalex-snapshot
Rare disaster risk and exchange rates: An empirical investigation of South Korean exchange rates under tension between the two Koreas
inferred← citeshttps://doi.org/10.1016/j.frl.2020.101612openalex-snapshot
Economic Disasters: A New Data Set
inferred← citeshttps://doi.org/10.1016/j.frl.2020.101842openalex-snapshot
An Evaluation of the Effect of the COVID-19 Pandemic on the Risk Tolerance of Financial Decision Makers
inferred← citeshttps://doi.org/10.1016/j.frl.2022.102764openalex-snapshot
Disaster risk matters in the bond market
inferred← citeshttps://doi.org/10.1016/j.frl.2026.110049openalex-snapshot
Challenging the rare disaster model: An empirical analysis using the survey of professional forecasters
inferred← citeshttps://doi.org/10.1016/j.gfj.2025.101203openalex-snapshot
Does climate risk influence exchange rates?
inferred← citeshttps://doi.org/10.1016/j.intfin.2017.11.003openalex-snapshot
Common information in carry trade risk factors
inferred← citeshttps://doi.org/10.1016/j.intfin.2018.11.002openalex-snapshot
Unexploited currency carry trade profit opportunity
inferred← citeshttps://doi.org/10.1016/j.intfin.2021.101358openalex-snapshot
To hedge or not to hedge: Carry trade dynamics in the emerging economies
inferred← citeshttps://doi.org/10.1016/j.intfin.2021.101460openalex-snapshot
Currency carry trade: The decline in performance after the 2008 Global Financial Crisis
inferred← citeshttps://doi.org/10.1016/j.intfin.2022.101591openalex-snapshot
Conditionally-hedged currency carry trades
inferred← citeshttps://doi.org/10.1016/j.intfin.2022.101710openalex-snapshot
Carry and conditional value at risk trend: Capturing the short-, intermediate-, and long-term trends of left-tail risk forecasts
inferred← citeshttps://doi.org/10.1016/j.iref.2022.01.010openalex-snapshot
Exchange rate dynamics with crash risk and interventions
inferred← citeshttps://doi.org/10.1016/j.iref.2023.03.043openalex-snapshot
Foreign exchange market efficiency during COVID-19 pandemic
inferred← citeshttps://doi.org/10.1016/j.iref.2023.07.078openalex-snapshot
Overextrapolation of disaster probabilities and asset pricing in a production economy
inferred← citeshttps://doi.org/10.1016/j.irfa.2020.101518openalex-snapshot
Does Bitcoin behave as a currency?: A standard monetary model approach
inferred← citeshttps://doi.org/10.1016/j.irfa.2021.101901openalex-snapshot
Long-term foreign exchange risk premia and inflation risk
inferred← citeshttps://doi.org/10.1016/j.irfa.2024.103253openalex-snapshot
Dynamic impacts of multidimensional uncertainty on the renminbi exchange rate: Insights from time-varying analysis
inferred← citeshttps://doi.org/10.1016/j.irfa.2024.103574openalex-snapshot
Oil price disaster risk, macroeconomic dynamics and monetary policy
inferred← citeshttps://doi.org/10.1016/j.jbankfin.2025.107542openalex-snapshot
Media tone is a priced risk factor in currency markets
inferred← citeshttps://doi.org/10.1016/j.jcomm.2026.100562openalex-snapshot
Political risk and commodity currencies
inferred← citeshttps://doi.org/10.1016/j.jebo.2025.107411openalex-snapshot
Tail risk and expectations
inferred← citeshttps://doi.org/10.1016/j.jeconom.2020.08.001openalex-snapshot
Empirical asset pricing with multi-period disaster risk: A simulation-based approach
inferred← citeshttps://doi.org/10.1016/j.jeconom.2021.01.013openalex-snapshot
Estimation and inference about tail features with tail censored data
inferred← citeshttps://doi.org/10.1016/j.jedc.2017.04.007openalex-snapshot
Fifth-order perturbation solution to DSGE models
inferred← citeshttps://doi.org/10.1016/j.jedc.2019.05.011openalex-snapshot
Deep habits and exchange rate pass-through
inferred← citeshttps://doi.org/10.1016/j.jedc.2020.103975openalex-snapshot
Gain/loss asymmetric stochastic differential utility
inferred← citeshttps://doi.org/10.1016/j.jedc.2024.104904openalex-snapshot
Nominal exchange rates and heterogeneous beliefs
inferred← citeshttps://doi.org/10.1016/j.jedc.2025.105194openalex-snapshot
Dollarization hysteresis, inflation jumps, and fear of inflation
inferred← citeshttps://doi.org/10.1016/j.jempfin.2018.03.006openalex-snapshot
Crash risk and risk neutral densities
inferred← citeshttps://doi.org/10.1016/j.jempfin.2021.12.004openalex-snapshot
Do interest rate differentials drive the volatility of exchange rates? Evidence from an extended stochastic volatility model
inferred← citeshttps://doi.org/10.1016/j.jenvman.2023.117878openalex-snapshot
Climate risk and financial systems: A nonlinear network connectedness analysis
inferred← citeshttps://doi.org/10.1016/j.jet.2024.105872openalex-snapshot
Disaster learning and aggregate investment
inferred← citeshttps://doi.org/10.1016/j.jfineco.2013.08.006openalex-snapshot
General equilibrium pricing of currency and currency options
inferred← citeshttps://doi.org/10.1016/j.jfineco.2017.02.002openalex-snapshot
Variance risk premiums and the forward premium puzzle
inferred← citeshttps://doi.org/10.1016/j.jfineco.2017.11.002openalex-snapshot
Carry
inferred← citeshttps://doi.org/10.1016/j.jfineco.2018.08.006openalex-snapshot
The impact of jumps on carry trade returns
inferred← citeshttps://doi.org/10.1016/j.jfineco.2018.08.012openalex-snapshot
Private information in currency markets
inferred← citeshttps://doi.org/10.1016/j.jfineco.2019.09.009openalex-snapshot
International R&D spillovers and asset prices
inferred← citeshttps://doi.org/10.1016/j.jfineco.2020.05.010openalex-snapshot
Volatility, intermediaries, and exchange rates
inferred← citeshttps://doi.org/10.1016/j.jfineco.2021.01.007openalex-snapshot
Frequency Dependent Risk
inferred← citeshttps://doi.org/10.1016/j.jfineco.2021.05.020openalex-snapshot
Equity tail risk and currency risk premiums
inferred← citeshttps://doi.org/10.1016/j.jfineco.2021.05.030openalex-snapshot
Learning, slowly unfolding disasters, and asset prices
inferred← citeshttps://doi.org/10.1016/j.jfineco.2021.05.051openalex-snapshot
Entangled Risks in Incomplete FX Markets
inferred← citeshttps://doi.org/10.1016/j.jfineco.2021.06.031openalex-snapshot
Government policy approval and exchange rates
inferred← citeshttps://doi.org/10.1016/j.jfineco.2021.07.001openalex-snapshot
The missing risk premium in exchange rates
inferred← citeshttps://doi.org/10.1016/j.jfineco.2022.09.010openalex-snapshot
Origins of international factor structures
inferred← citeshttps://doi.org/10.1016/j.jfineco.2024.103838openalex-snapshot
Measuring macroeconomic tail risk
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