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Currency Risk Premiums: A Multi-Horizon Perspective

Mikhail Chernov & Magnus Dahlquist

Foundations and Trends in Finance2023https://doi.org/10.1561/0500000069article
AJG 2ABDC B
Weight
0.39

Abstract

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 strengthened by explicitly accounting for stochastic discount factors. Information about currency risk premiums at different horizons presents a wealth of new evidence and challenges for existing models.

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https://doi.org/https://doi.org/10.1561/0500000069

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@article{mikhail2023,
  title        = {{Currency Risk Premiums: A Multi-Horizon Perspective}},
  author       = {Mikhail Chernov & Magnus Dahlquist},
  journal      = {Foundations and Trends in Finance},
  year         = {2023},
  doi          = {https://doi.org/https://doi.org/10.1561/0500000069},
}

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Evidence weight

0.39

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.11 × 0.4 = 0.04
M · momentum0.80 × 0.15 = 0.12
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.