FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W781185114> ?p ?o ?g. }

• W781185114 abstract "I quantify the risk-return relationship in the foreign-exchange (FX) market across different countries and investment horizons by focusing on the role of multiple sources of consumption risk. I estimate a flexible structural model of the joint dynamics of US aggregate consumption, inflation, nominal yield, and stochastic variance with cross-equation restrictions implied by recursive preferences. I identify four sources of consumption risk: short-run, long-run, inflation, and variance shocks. The long-run consumption risk plays a prominent role in the FX market: it contributes to the spread in returns between high and low interest rate currencies across multiple investment horizons from one to five quarters. The short-run consumption risk affects currencies only at the quarterly horizon, where it explains 40% of the spread. The difference in returns between high and low yield currencies disappears for horizons longer than four quarters." @default.
• W781185114 created "2016-06-24" @default.
• W781185114 creator A5049177140 @default.
• W781185114 date "2014-01-01" @default.
• W781185114 modified "2023-09-23" @default.
• W781185114 title "Term-Structure of Consumption Risk Premia in the Cross-Section of Currency Returns" @default.
• W781185114 cites W1560056378 @default.
• W781185114 cites W1560548761 @default.
• W781185114 cites W1848235336 @default.
• W781185114 cites W1894905729 @default.
• W781185114 cites W1967693106 @default.
• W781185114 cites W1975213460 @default.
• W781185114 cites W2014405898 @default.
• W781185114 cites W2019265923 @default.
• W781185114 cites W2027733619 @default.
• W781185114 cites W2064796634 @default.
• W781185114 cites W2066604636 @default.
• W781185114 cites W2081845494 @default.
• W781185114 cites W2109425163 @default.
• W781185114 cites W2113107692 @default.
• W781185114 cites W2113704261 @default.
• W781185114 cites W2124475815 @default.
• W781185114 cites W2126010856 @default.
• W781185114 cites W2126521058 @default.
• W781185114 cites W2136056555 @default.
• W781185114 cites W2137793844 @default.
• W781185114 cites W2140366551 @default.
• W781185114 cites W2140926950 @default.
• W781185114 cites W2141860116 @default.
• W781185114 cites W2146006331 @default.
• W781185114 cites W2148995834 @default.
• W781185114 cites W2151998305 @default.
• W781185114 cites W2152832414 @default.
• W781185114 cites W2160436407 @default.
• W781185114 cites W2236951358 @default.
• W781185114 cites W3122907891 @default.
• W781185114 cites W3123067768 @default.
• W781185114 cites W3123644164 @default.
• W781185114 cites W3123658883 @default.
• W781185114 cites W3123696869 @default.
• W781185114 cites W3123865756 @default.
• W781185114 cites W3124431547 @default.
• W781185114 cites W3125273981 @default.
• W781185114 cites W3125839662 @default.
• W781185114 cites W3125868174 @default.
• W781185114 cites W3162328084 @default.
• W781185114 doi "https://doi.org/10.2139/ssrn.2497177" @default.
• W781185114 hasPublicationYear "2014" @default.
• W781185114 type Work @default.
• W781185114 sameAs 781185114 @default.
• W781185114 citedByCount "2" @default.
• W781185114 countsByYear W7811851142015 @default.
• W781185114 countsByYear W7811851142018 @default.
• W781185114 crossrefType "journal-article" @default.
• W781185114 hasAuthorship W781185114A5049177140 @default.
• W781185114 hasBestOaLocation W7811851142 @default.
• W781185114 hasConcept C106159729 @default.
• W781185114 hasConcept C112698675 @default.
• W781185114 hasConcept C121332964 @default.
• W781185114 hasConcept C141121606 @default.
• W781185114 hasConcept C144024400 @default.
• W781185114 hasConcept C144133560 @default.
• W781185114 hasConcept C151541453 @default.
• W781185114 hasConcept C162324750 @default.
• W781185114 hasConcept C2780129039 @default.
• W781185114 hasConcept C30772137 @default.
• W781185114 hasConcept C36289849 @default.
• W781185114 hasConcept C556758197 @default.
• W781185114 hasConcept C61797465 @default.
• W781185114 hasConcept C62520636 @default.
• W781185114 hasConceptScore W781185114C106159729 @default.
• W781185114 hasConceptScore W781185114C112698675 @default.
• W781185114 hasConceptScore W781185114C121332964 @default.
• W781185114 hasConceptScore W781185114C141121606 @default.
• W781185114 hasConceptScore W781185114C144024400 @default.
• W781185114 hasConceptScore W781185114C144133560 @default.
• W781185114 hasConceptScore W781185114C151541453 @default.
• W781185114 hasConceptScore W781185114C162324750 @default.
• W781185114 hasConceptScore W781185114C2780129039 @default.
• W781185114 hasConceptScore W781185114C30772137 @default.
• W781185114 hasConceptScore W781185114C36289849 @default.
• W781185114 hasConceptScore W781185114C556758197 @default.
• W781185114 hasConceptScore W781185114C61797465 @default.
• W781185114 hasConceptScore W781185114C62520636 @default.
• W781185114 hasLocation W7811851141 @default.
• W781185114 hasLocation W7811851142 @default.
• W781185114 hasOpenAccess W781185114 @default.
• W781185114 hasPrimaryLocation W7811851141 @default.
• W781185114 hasRelatedWork W1980439124 @default.
• W781185114 hasRelatedWork W1995207883 @default.
• W781185114 hasRelatedWork W2017743522 @default.
• W781185114 hasRelatedWork W2027453646 @default.
• W781185114 hasRelatedWork W2034170613 @default.
• W781185114 hasRelatedWork W2154254354 @default.
• W781185114 hasRelatedWork W2734936450 @default.
• W781185114 hasRelatedWork W2791988446 @default.
• W781185114 hasRelatedWork W3123313930 @default.
• W781185114 hasRelatedWork W3124573072 @default.
• W781185114 isParatext "false" @default.
• W781185114 isRetracted "false" @default.

• next