Current Account Uncertainty and Currency Premia

The authors are grateful to David Simchi-Levi (Editor), Gustavo Manso (Department Editor), an anonymous associate editor, two anonymous referees, Turan Bali, Gurdip Bakshi, Svetlana Bryzgalova, Andrea Buraschi, Paolo Cavallino, Craig Burnside, Max Croce, Walter Distaso, Federico Gavazzoni, Roman Kozhan, Christian Julliard, Matteo Maggiori, Antonio Mele, Philippe Mueller, Stefan Nagel, Cesare Robotti, Ivan Shaliastovich, and Paul Tetlock for helpful suggestions. The authors also thank participants of the 2017 China International Conference in Finance in Hangzhou, the 2016 American Finance Association Annual Meeting in San Francisco, the 2015 European Finance Association Annual Meeting in Vienna, the 2015 Scottish Institute for Research in Economics Asset Pricing Conference in Glasgow, the 2015 European Summer Symposium in Financial Markets in Gerzensee, the 2013 Bank of Italy Workshop on Financial Determinants of Exchange Rates in Rome, the 2013 European Economic Association Annual Meeting in Gothenburg, and the 2013 International Finance and Banking Society International Conference in Nottingham as well as seminar participants at the Hong Kong University of Science and Technology, the University of Durham, the University of Reading, and the Bank of England for insightful comments. P. Della Corte acknowledges the hospitality of the Hong Kong Institute for Monetary Research and the Einaudi Institute for Economics and Finance, where part of this research was conducted. The authors thank Glebs Krecetovs, Supachai Phaetrak, Yang Xu, and Zixiao Yang for their research assistance. All errors remain the authors’ own. A previous version of the paper was circulated under the title “Macro uncertainty and currency premia.”