represent a fair compensation for currency risk, we find that non-durable consumption risk and market risk can explain excess …

represent a fair compensation for currency risk, we find that non-durable consumption risk and market risk can explain excess …

maturities longer than about one month.We find that differences in the exposure to risk help to explain the cross …, consumption and carry trade risk than currencies with ahigh futures premium. However, this only applies for medium and longer … asset matu-rities. Considering that most studies that test the validity of a risk-based approach tocurrency excess returns …

premium are much closer to one. The latent factor is shown to be related to conventional proxies of risk. -- Forward premium …

premium are much closer to one. The latent factor is shown to be related to conventional proxies of risk …

premium are much closer to one. The latent factor is shown to be related to conventional proxies of risk …

return and the premium. The correlation decreases with increasing maturity, presumably due to a latent risk premium. We … hypothesize that the influence of the unobserved risk factor has a contract-specific risk component. Our main contribution is to …-specific part is related to conventional proxies of risk. …

return and the premium. The correlation decreases with increasing maturity, presumably due to a latent risk premium. We … hypothesize that the influence of the unobserved risk factor has a contract-specific risk component. Our main contribution is to …-specific part is related to conventional proxies of risk …