For two hypothetical firms with different home currencies, this study compares alternative production locations if the firms compete in one firm’s home country. Using simple three-outcome scenarios, the study shows that a firm’s foreign exchange (FX) exposure depends on the currency location...

This empirical study of the exchange rate exposure management of Danish non-financial firms listed on the Copenhagen Stock Exchange shows that debt denominated in foreign currency (“foreign debt”) is a very important alternative to the use of currency derivatives. The results show that the...

We study the relationship between cross-sectional sovereign credit risk and currency spot prices. We find that past (up to 12-month average) sovereign credit risk, measured by sovereign credit default swap (CDS) spreads, predicts future currency spot returns. In particular, we document a...

The extent to which Economic Policy Uncertainty (EPU) affects exchange rate volatility has progressively become one of the popular issues that economists have devoted their efforts to studying in recent years. In this study, daily and monthly exchange rate data of USD/GBP are selected and...

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...

This paper presents a novel approach to measure firm-level labor-shortage exposure by leveraging finance-specialized machine learning techniques. Specifically, we use FinBERT to extract information from earnings conference call transcripts to develop a reliable measure of labor-shortage...

This paper comprehensively examines the risk-return relation of cryptocurrency carry trade using realistic borrowing and lending interest rates. We find significant violations of the uncovered interest rate parity in the cryptocurrency market. The cross-sectional carry trade strategy yields an...

Currency momentum portfolios have not generated positive returns since the global financial crisis due to the strong demand of U.S. dollars. We propose conditional currency momentum strategies that incorporate information about the average forward discount, the currency market volatility, and...