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~isPartOf:"Working paper series / European Central Bank"
~person:"Kostka, Thomas"
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Predicting risk premia in short-term interest rates and exchange rates
Gräb, Johannes
;
Kostka, Thomas
-
2018
We assess the ability of yield curve factors to predict risk premia in short-term interest rates and exchange rates across a large sample of major advanced economies. We find that the same tick-shaped linear combination of (relative) bond yields predicts risk premia in both short-term interest...
Persistent link: https://www.econbiz.de/10011802134
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From carry trades to curvy trades
Dreher, Ferdinand
;
Gräb, Johannes
;
Kostka, Thomas
-
2018
traditional carry trade returns, such as
exchange
rate
volatility, fail to explain curvy trade returns in a linear asset pricing …
Persistent link: https://www.econbiz.de/10011856388
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