Matches in SemOpenAlex for { <https://semopenalex.org/work/W3208440031> ?p ?o ?g. }
Showing items 1 to 92 of
92
with 100 items per page.
- W3208440031 abstract "This paper documents a tight connection between long run consumption risks (LRRs), currency excess returns and traditional global currency risk factors. We adopt a novel identification strategy that estimates country level LRRs using asset market data alone. With this identification strategy in hand, we find that: (1) currencies that suffer a bad relative LRR shock appreciate on impact before depreciating over the long run, (2) the High-Minus-Low (HML) carry trade sorts currencies on the basis of global LRR exposures, (3) the dollar carry trade outperforms on impact before underperforming over the long run in response to positive US relative LRR shocks, (4) US relative LRR shocks drive global currency risk factors. We interpret these facts as evidence in favour of an international LRR model where US LRRs drive global shocks to the world economy." @default.
- W3208440031 created "2021-11-08" @default.
- W3208440031 creator A5006849563 @default.
- W3208440031 creator A5021627059 @default.
- W3208440031 date "2021-01-01" @default.
- W3208440031 modified "2023-09-23" @default.
- W3208440031 title "Long Run Risks in FX Markets: Are They There?" @default.
- W3208440031 cites W2005841792 @default.
- W3208440031 cites W2014405898 @default.
- W3208440031 cites W2093503007 @default.
- W3208440031 cites W2123518587 @default.
- W3208440031 cites W2127470830 @default.
- W3208440031 cites W2135665921 @default.
- W3208440031 cites W2149923233 @default.
- W3208440031 cites W2316351610 @default.
- W3208440031 cites W3012185131 @default.
- W3208440031 cites W3121423745 @default.
- W3208440031 cites W3122597427 @default.
- W3208440031 cites W3122965465 @default.
- W3208440031 cites W3123289511 @default.
- W3208440031 cites W3123502043 @default.
- W3208440031 cites W3123952677 @default.
- W3208440031 cites W3124536539 @default.
- W3208440031 cites W3124919835 @default.
- W3208440031 cites W3125089115 @default.
- W3208440031 cites W3125398105 @default.
- W3208440031 cites W4243277903 @default.
- W3208440031 doi "https://doi.org/10.2139/ssrn.3950981" @default.
- W3208440031 hasPublicationYear "2021" @default.
- W3208440031 type Work @default.
- W3208440031 sameAs 3208440031 @default.
- W3208440031 citedByCount "0" @default.
- W3208440031 crossrefType "journal-article" @default.
- W3208440031 hasAuthorship W3208440031A5006849563 @default.
- W3208440031 hasAuthorship W3208440031A5021627059 @default.
- W3208440031 hasConcept C10138342 @default.
- W3208440031 hasConcept C109168655 @default.
- W3208440031 hasConcept C116834253 @default.
- W3208440031 hasConcept C126322002 @default.
- W3208440031 hasConcept C141121606 @default.
- W3208440031 hasConcept C144024400 @default.
- W3208440031 hasConcept C162324750 @default.
- W3208440031 hasConcept C18547055 @default.
- W3208440031 hasConcept C22241219 @default.
- W3208440031 hasConcept C2776299755 @default.
- W3208440031 hasConcept C2781300812 @default.
- W3208440031 hasConcept C30772137 @default.
- W3208440031 hasConcept C36289849 @default.
- W3208440031 hasConcept C38652104 @default.
- W3208440031 hasConcept C41008148 @default.
- W3208440031 hasConcept C556758197 @default.
- W3208440031 hasConcept C59822182 @default.
- W3208440031 hasConcept C71924100 @default.
- W3208440031 hasConcept C76178495 @default.
- W3208440031 hasConcept C86803240 @default.
- W3208440031 hasConceptScore W3208440031C10138342 @default.
- W3208440031 hasConceptScore W3208440031C109168655 @default.
- W3208440031 hasConceptScore W3208440031C116834253 @default.
- W3208440031 hasConceptScore W3208440031C126322002 @default.
- W3208440031 hasConceptScore W3208440031C141121606 @default.
- W3208440031 hasConceptScore W3208440031C144024400 @default.
- W3208440031 hasConceptScore W3208440031C162324750 @default.
- W3208440031 hasConceptScore W3208440031C18547055 @default.
- W3208440031 hasConceptScore W3208440031C22241219 @default.
- W3208440031 hasConceptScore W3208440031C2776299755 @default.
- W3208440031 hasConceptScore W3208440031C2781300812 @default.
- W3208440031 hasConceptScore W3208440031C30772137 @default.
- W3208440031 hasConceptScore W3208440031C36289849 @default.
- W3208440031 hasConceptScore W3208440031C38652104 @default.
- W3208440031 hasConceptScore W3208440031C41008148 @default.
- W3208440031 hasConceptScore W3208440031C556758197 @default.
- W3208440031 hasConceptScore W3208440031C59822182 @default.
- W3208440031 hasConceptScore W3208440031C71924100 @default.
- W3208440031 hasConceptScore W3208440031C76178495 @default.
- W3208440031 hasConceptScore W3208440031C86803240 @default.
- W3208440031 hasLocation W32084400311 @default.
- W3208440031 hasOpenAccess W3208440031 @default.
- W3208440031 hasPrimaryLocation W32084400311 @default.
- W3208440031 hasRelatedWork W34226758 @default.
- W3208440031 hasRelatedWork W36819836 @default.
- W3208440031 hasRelatedWork W62770257 @default.
- W3208440031 hasRelatedWork W67466508 @default.
- W3208440031 hasRelatedWork W74130224 @default.
- W3208440031 hasRelatedWork W84707620 @default.
- W3208440031 hasRelatedWork W91882619 @default.
- W3208440031 hasRelatedWork W92284516 @default.
- W3208440031 hasRelatedWork W61328007 @default.
- W3208440031 hasRelatedWork W87422079 @default.
- W3208440031 isParatext "false" @default.
- W3208440031 isRetracted "false" @default.
- W3208440031 magId "3208440031" @default.
- W3208440031 workType "article" @default.