Conditional Risk Premia in Currency Markets and Other Asset Classes
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https://www.nber.org/papers/w18844
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资源简介：
The downside risk CAPM (DR-CAPM) can price the cross section of currency returns. The market-beta differential between high and low interest rate currencies is higher conditional on bad market returns, when the market price of risk is also high, than it is conditional on good market returns.
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美国国家经济研究局创建时间：
2013-02-01
