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Cross-Currency Consistency, Three-Part SDF Factorizations, and an Impossibility Theorem for the Stationarity of Exchange Rates in International Economies

https://doi.org/10.2139/ssrn.3257604
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Outgoing claims: the papers this work cites, builds on, or argues with.

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Exchange rates and monetary fundamentals: what do we learn from long-horizon regressions?
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Multivariate Time Series
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Consumption and real exchange rates in dynamic economies with non-traded goods
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Interest rates and currency prices in a two-country world
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Spectral based testing of the martingale hypothesis
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Variance bounds on the permanent and transitory components of stochastic discount factors
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International risk sharing is better than you think, or exchange rates are too smooth
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Rare Disasters and Exchange Rates *
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Do Long-Term Swings in the Dollar Affect Estimates of the Risk Premia?
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A Recovery that We Can Trust? Deducing and Testing the Restrictions of the Recovery Theorem
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Implications of Incomplete Markets for International Economies
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Affine Term Structure Models and the Forward Premium Anomaly
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Using Asset Prices to Measure the Persistence of the Marginal Utility of Wealth
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Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets
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Equilibrium Valuation of Foreign Exchange Claims
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Multinomial Goodness-Of-Fit Tests
inferredcites →https://doi.org/10.1111/jofi.12088openalex-extracted
International Asset Pricing with Recursive Preferences
inferredcites →https://doi.org/10.1111/jofi.12404openalex-extracted
Misspecified Recovery
inferredcites →https://doi.org/10.1162/003465303772815925openalex-extracted
Inference on Predictability of Foreign Exchange Rates via Generalized Spectrum and Nonlinear Time Series Models
inferredcites →https://doi.org/10.1257/aer.20121365openalex-extracted
Exchange Rates, Interest Rates, and the Risk Premium
inferredcites →https://doi.org/10.1257/aer.20160409openalex-extracted
Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?
inferredcites →https://doi.org/10.1287/mnsc.2016.2498openalex-extracted
Economic Implications of Nonlinear Pricing Kernels
inferredcites →https://doi.org/10.1515/9780691218632openalex-extracted
Time Series Analysis
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Nonparametric stochastic discount factor decomposition
inferredcites →https://doi.org/10.21034/wp.429openalex-extracted
Risk Premiums in the Term Structure: Evidence from Artificial Economies
inferredcites →https://doi.org/10.2139/ssrn.1868232openalex-extracted
Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors
inferredcites →https://doi.org/10.2139/ssrn.2021328openalex-extracted
International Asset Pricing with Recursive Preferences
inferredcites →https://doi.org/10.2139/ssrn.2341772openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.2542182openalex-extracted
Currency Risk Factors in a Recursive Multi-Country Economy
inferredcites →https://doi.org/10.2139/ssrn.2609151openalex-extracted
The Carry Trade and Uncovered Interest Parity When Markets Are Incomplete
inferredcites →https://doi.org/10.2139/ssrn.2872909openalex-extracted
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Asset Prices in an Exchange Economy
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Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?
inferredcites →https://doi.org/10.3386/w3165openalex-extracted
Long Swings in the Exchange Rate: Are they in the Data and Do Markets Know It?
inferredcites →https://doi.org/10.3386/w3790openalex-extracted
Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets
inferredcites →https://doi.org/10.3386/w4995openalex-extracted
By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior
inferredcites →https://doi.org/10.3982/ecta11600openalex-extracted
Nonparametric Stochastic Discount Factor Decomposition
inferredcites →https://doi.org/10.3982/ecta6761openalex-extracted
Long-term Risk: An Operator Approach
inferredcites →https://doi.org/10.3982/ecta8070openalex-extracted
Dynamic Valuation Decomposition Within Stochastic Economies
inferredcites →https://doi.org/10.1017/cbo9780511804441openalex-snapshot
Convex Optimization
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/10.1086/659238openalex-snapshot
Risks for the Long Run and the Real Exchange Rate
inferredcites →https://doi.org/10.1093/rfs/hhz049openalex-snapshot
On the Asset Market View of Exchange Rates
inferredcites →https://doi.org/10.1287/mnsc.2017.3017openalex-snapshot
The Term Structures of Coentropy in International Financial Markets
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