by modelling the time-varying dynamics of asset returns and inflation, and then estimating the cost of hedging in ation … expected and unexpected in ation shocks embedded in sovereign bond yields; and provides estimates of the real risk-free rate … recent years, a low real risk-free rate, as well as low levels of compensation for both expected and unexpected in ation. The …

The sovereign's intention to issue inflation-linked bonds (ILB) is to save money. More than 15 years' experience with …

boom yields consistently positive excess returns. This excess return compensates for the risk of high negative returns in … countries on risk aversion, and low (high) risk aversion currencies depreciate (appreciate) in times of global turmoil. …

approximates sorting countries based on risk aversion and low (high) risk-aversion currencies depreciate (appreciate) in times of …

boom yields consistently positive excess returns. This excess return compensates for the risk of high negative returns in … countries on risk aversion, and low (high) risk aversion currencies depreciate (appreciate) in times of global turmoil …

are highly integrated with key suppliers of tradeable financial assets. Currency risk premia decrease as network … centrality increases. Asset pricing tests confirm that the centrality risk factor is priced in the cross-section. Further …

This paper formally implements time-varying risk price models for currency returns. Focusing upon time variation in … risk prices, the paper explores four currency risk factors. In addition to dollar and carry factors, we employ momentum and … value factors which are widely used by currency investors. We find time variation in risk prices for the dollar factor is …

component analysis suggests an interpretation of this strategy as a risk-factor which drives the variability of portfolio … average returns. Asset pricing tests show that popular risk factors in the FX literature are not priced in the cross …