Liquidity Risk and Currency Premia

The authors thank two anonymous referees, one associate editor, Jens Christensen, Magnus Dahlquist, Pasquale Della Corte, Darrell Duffie, Ramin Hassan (discussant), Alexandre Jeanneret, Hanno Lustig, Thomas Maurer, Vitaly Orlov, Christopher Polk, Angelo Ranaldo, Valeri Sokolovski (discussant), Adrien Verdelhan, Vincent Wolff (discussant), and Haonan Zhou (discussant) for providing constructive comments and suggestions while working on this project and seminar and conference participants at the 2020 American Finance Association meetings in San Diego, University of St.Gallen, 24th Annual Meeting of the Swiss Society for Financial Market Research, 2022 Swiss Finance Institute Research Days in Gerzensee, 17th End-Of-Year Conference of Swiss Economists Abroad in Basel, 8th Conference on Fixed Income Markets in Ottawa, 2023 Northern Finance Association Annual Meeting in Toronto, and the 2023 Southern Finance Association Annual Meeting in Puerto Rico. All remaining errors are our own.