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Currency Risk Premiums: A Multi-horizon Perspective / Mikhail Chernov, Magnus Dahlquist.
- Format:
- Book
- Author/Creator:
- Chernov, Mikhail.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w31418.
- NBER working paper series no. w31418
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2023.
- Summary:
- We review the literature on multi-horizon currency risk premiums. We show how the multi-horizon implications arise from the classic present-value relationship. We further show how these implications manifest themselves in the interaction between bond and currency risk premiums. This link is strengthened by explicitly accounting for stochastic discount factors. Information about currency risk premiums at different horizons presents a wealth of new evidence and challenges for existing models.
- Notes:
- Print version record
- June 2023.
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