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• W3122965465 abstract "We describe a novel currency investment strategy, the ‘dollar carry trade,’ which delivers large excess returns, uncorrelated with the returns on well-known carry trade strategies. Using a no-arbitrage model of exchange rates we show that these excess returns compensate U.S. investors for taking on aggregate risk by shorting the dollar in bad times, when the U.S. price of risk is high. The countercyclical variation in risk premia leads to strong return predictability: the average forward discount and U.S. industrial production growth rates forecast up to 25% of the dollar return variation at the one-year horizon. The estimated model implies that the variation in the exposure of U.S. investors to worldwide risk is the key driver of predictability." @default.
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• W3122965465 date "2014-03-01" @default.
• W3122965465 modified "2023-10-17" @default.
• W3122965465 title "Countercyclical currency risk premia" @default.
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• W3122965465 doi "https://doi.org/10.1016/j.jfineco.2013.12.005" @default.
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