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Decomposing Exchange Rate Risk in the Consumption Model: a Present Value Approach

https://doi.org/10.2139/ssrn.4194188
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What this work says

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

inferredcites →https://doi.org/10.1007/978-1-349-03359-1_7openalex-extracted
A Monetary Approach To The Exchange Rate: Doctrinal Aspects And Empirical Evidence
inferredcites →https://doi.org/10.1007/978-1-349-03359-1_9openalex-extracted
The Exchange Rate, The Balance Of Payments and Monetary and Fiscal Policy Under A Regime of Controlled Floating
inferredcites →https://doi.org/10.1016/0022-0531(74)90024-6openalex-extracted
An equilibrium model of the international capital market
inferredcites →https://doi.org/10.1016/0022-1996(83)90017-xopenalex-extracted
Empirical exchange rate models of the seventies
inferredcites →https://doi.org/10.1016/0261-5606(82)90004-3openalex-extracted
Fluctuations in the dollar: A model of nominal and real exchange rate determination
inferredcites →https://doi.org/10.1016/0304-3932(82)90032-0openalex-extracted
Interest rates and currency prices in a two-country world
inferredcites →https://doi.org/10.1016/0304-3932(87)90027-4openalex-extracted
The term structure of euromarket interest rates
inferredcites →https://doi.org/10.1016/0304-3932(94)90012-4openalex-extracted
Real exchange rates and real interest differentials
inferredcites →https://doi.org/10.1016/j.euroecorev.2009.04.013openalex-extracted
Real exchange rates and real interest rate differentials: A present value interpretation
inferredcites →https://doi.org/10.1016/j.jfineco.2021.07.001openalex-extracted
The missing risk premium in exchange rates
inferredcites →https://doi.org/10.1016/j.jimonfin.2003.08.003openalex-extracted
Currency spillovers and tri-polarity: a simultaneous model of the US dollar, German mark and Japanese yen
inferredcites →https://doi.org/10.1016/s0922-1425(03)00003-3openalex-extracted
International parity relationships between the USA and Japan
inferredcites →https://doi.org/10.1017/s1365100598009092openalex-extracted
THE ECONOMETRICS OF FINANCIAL MARKETS
inferredcites →https://doi.org/10.1086/260506openalex-extracted
Expectations and Exchange Rate Dynamics
inferredcites →https://doi.org/10.1086/261141openalex-extracted
Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns
inferredcites →https://doi.org/10.1086/429137openalex-extracted
Exchange Rates and Fundamentals
inferredcites →https://doi.org/10.1093/rfs/1.3.195openalex-extracted
The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors
inferredcites →https://doi.org/10.1093/rfs/hhj029openalex-extracted
International Capital Markets and Foreign Exchange Risk
inferredcites →https://doi.org/10.1111/j.1540-6261.1988.tb02613.xopenalex-extracted
Was It Real? The Exchange Rate‐Interest Differential Relation over the Modern Floating‐Rate Period
inferredcites →https://doi.org/10.1257/aer.20121365openalex-extracted
Exchange Rates, Interest Rates, and the Risk Premium
inferredcites →https://doi.org/10.1257/mac.20170391openalex-extracted
Bond Convenience Yields and Exchange Rate Dynamics
inferredcites →https://doi.org/10.2139/ssrn.2755048openalex-extracted
Bond Convenience Yields and Exchange Rate Dynamics
inferredcites →https://doi.org/10.2307/1911841openalex-extracted
Dividend Innovations and Stock Price Volatility
inferredcites →https://doi.org/10.2307/2648872openalex-extracted
Exchange Rate Dynamics with Sluggish Prices under Alternative Price-Adjustment Rules
inferredcites →https://doi.org/10.3386/w1173openalex-extracted
Exchange Rate Dynamics With Sluggish Prices Under Alternative Price-Adjustment Rules
inferredcites →https://doi.org/10.3386/w4446openalex-extracted
Partial- Vs. General-Equilibrium Models of the International Capital Market
inferredcites →https://doi.org/10.1016/0304-3932(89)90041-xopenalex-snapshot
Risk, Uncertainty and Exchange Rates
inferredcites →https://doi.org/10.1017/cbo9780511610141.006openalex-snapshot
Risk and Exchange Rates
inferredcites →https://doi.org/10.1086/261997openalex-snapshot
Exchange Rate Dynamics Redux

What points at this work

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

inferred← citeshttps://doi.org/10.2139/ssrn.4195851openalex-extracted
The Missing Link: The Real Bond Return Parity
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