This paper employs a risk-augmented asset price model of the exchange rate to compare the risk and return characteristics of a range of Asia-Pacific USD currency pairs. The Asia-Pacific currencies include a full range of exchange rate regimes, so provide a broad perspective of exchange rate...

No-arbitrage implies a close link between exchange rates and interest returns, but evidence of that link has been elusive. This paper derives an exchange rate asset price model with consumption-risk adjustments. Interest rates and exchange rates reflect common risks which bias their reduced-form...