Nontraded Sector Growth Risks and Economic Sizes in International Asset Pricing

Published Online:https://doi.org/10.1287/mnsc.2022.03697

References

  • Backus D, Smith G (1993) Consumption and real exchange rates in dynamic economies with non-traded goods. J. Internat. Econom. 35(3–4):297–316.CrossrefGoogle Scholar
  • Breeden D (1979) An intertemporal asset pricing model with stochastic consumption and investment opportunities. J. Financial Econom. 7(3):265–296.CrossrefGoogle Scholar
  • Brunnermeier M, Nagel S, Pedersen L (2009) Carry trades and currency crashes. NBER Macroeconomics Annual 23:313–347.CrossrefGoogle Scholar
  • Burnside C, Eichenbaum M, Kleshchelski I, Rebelo S (2011) Do peso problems explain the returns to the carry trade? Rev. Financial Stud. 24(3):853–891.CrossrefGoogle Scholar
  • Colacito R, Croce M (2011) Risks for the long-run and the real exchange rate. J. Political Econom. 119(1):153–181.CrossrefGoogle Scholar
  • Colacito R, Croce MM, Gavazzoni F, Ready R (2018) Currency risk factors in a recursive multicountry economy. J. Finance 73(6):2719–2756.CrossrefGoogle Scholar
  • Della Corte P, Riddiough S, Sarno L (2016) Currency premia and global imbalances. Rev. Financial Stud. 29(8):2161–2193.CrossrefGoogle Scholar
  • Dumas B (1992) Dynamic equilibrium and the real exchange rate in a spatially separated world. Rev. Financial Stud. 5(2):153–180.CrossrefGoogle Scholar
  • Engel C (1999) Accounting for U.S. real exchange rate changes. J. Political Econom. 107(3):507–538.CrossrefGoogle Scholar
  • Fama E (1984) Forward and spot exchange rates. J. Monetary Econom. 14(3):319–338.CrossrefGoogle Scholar
  • Hansen LP (1982) Large sample properties of generalized method of moments estimators. Econometrica 50(4):1029–1054.CrossrefGoogle Scholar
  • Hartzmark S (2016) Economic uncertainty and interest rates. Rev. Asset Pricing Stud. 6(2):179–220.CrossrefGoogle Scholar
  • Hassan T (2013) Country size, currency unions, and international asset returns. J. Finance 68(6):2269–2308.CrossrefGoogle Scholar
  • Lucas R (1978) Asset prices in an exchange economy. Econometrica 46(6):1429–1445.CrossrefGoogle Scholar
  • Lustig H, Richmond R (2020) Gravity in the exchange rate factor structure. Rev. Financial Stud. 33(8):3492–3540.CrossrefGoogle Scholar
  • Lustig H, Verdelhan A (2007) The cross section of foreign currency risk premia and consumption growth risk. Amer. Econom. Rev. 97(1):89–117.CrossrefGoogle Scholar
  • Lustig H, Roussanov N, Verdelhan A (2011) Common risk factors in currency markets. Rev. Financial Stud. 24(11):3731–3777.CrossrefGoogle Scholar
  • Lustig H, Roussanov N, Verdelhan A (2014) Countercyclical currency risk premia. J. Financial Econom. 111(3):527–553.CrossrefGoogle Scholar
  • Maurer T, Tô T, Tran N-K (2023) Market timing and predictability in FX markets. Rev. Finance 27(1):223–246.Google Scholar
  • Menkhoff L, Sarno L, Schmeling M, Schrimpf A (2012) Carry trades and global foreign exchange volatility. J. Finance 67(2):681–718.CrossrefGoogle Scholar
  • Mueller P, Vedolin A, Stathopoulos A (2017) International correlation risk. J. Financial Econom. 126(2):270–299.CrossrefGoogle Scholar
  • Newey WK, West KD (1987) A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55(3):703–708.CrossrefGoogle Scholar
  • Ready R, Roussanov N, Ward C (2017) Commodity trade and the carry trade: A tale of two countries. J. Finance 72(6):2629–2684.CrossrefGoogle Scholar
  • Richmond R (2019) Trade network centrality and currency risk premia. J. Finance 74(3):1315–1361.CrossrefGoogle Scholar
  • Sarkissian S (2003) Incomplete consumption risk sharing and currency risk premiums. Rev. Financial Stud. 16(3):983–1005.CrossrefGoogle Scholar
  • Sercu P, Uppal R, Hulle CV (1995) The exchange rate in the presence of transaction costs: Implications for tests of purchasing power parity. J. Finance 50(4):1309–1319.CrossrefGoogle Scholar
  • Stathopoulos A (2017) Asset prices and risk sharing in open economies. Rev. Financial Stud. 30(2):363–415.CrossrefGoogle Scholar
  • Stockman A, Dellas H (1989) International portfolio nondiversification and exchange rate variability. J. Internat. Econom. 26(3–4):271–289.CrossrefGoogle Scholar
  • Stockman A, Tesar L (1995) Tastes and technology in a two-country model of the business cycle: Explaining international comovements. Amer. Econom. Rev. 85(1):168–185.Google Scholar
  • Stulz R (1987) An equilibrium model of exchange rate determination and asset pricing with non-traded goods and imperfect information. J. Political Econom. 95(5):1024–1040.CrossrefGoogle Scholar
  • Verdelhan A (2010) A habit-based explanation of the exchange rate risk premium. J. Finance 65(1):123–146.CrossrefGoogle Scholar
  • Zapatero F (1995) Equilibrium asset prices and exchange rates. J. Econom. Dynamic Control 19(4):787–811.CrossrefGoogle Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.