We describe a novel currency investment strategy, the 'dollar carry trade,' which delivers large excess returns, uncorrelated with the returns on well-known carry trade strategies. Using a no-arbitrag

NBER2010-09-01 更新110

Currency Risk Premiums: A Multi-horizon Perspective

货币风险溢价

跨时间金融分析

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 m

NBER2023-07-01 更新40

Replication code for "Currency Risk Premiums Redux", by Nucera, F., Sarno, L. and Zinna, G., Review of Financial Studies, forthcoming

货币风险溢价

实证金融复现

Matlab codes that replicate Tables 1, 2 and 3 of the main text, in addition to Figures 1, Figure 2 (numerical output, no actual figure), Figure 3, Figure 4, Figure 5 (numerical output and simplified v

NIAID Data Ecosystem10

A Credit-Based Theory of the Currency Risk Premium

货币风险溢价

信用风险模型

Codes to reproduce results in the "A Credit-Based Theory of the Currency Risk Premium" published paper.

Mendeley Data70

A Currency Premium Puzzle

货币风险溢价

国际资产定价

We show that quantitative asset pricing models, built to address the equity premium and risk-free rate puzzles, systematically fail when applied to open economies: they cannot generate the large and p

NBER2026-08-01 更新10