The Term Structure of Currency Carry Trade Risk Premia
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https://www.nber.org/papers/w19623
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Fixing the investment horizon, the returns to currency carry trades decrease as the maturity of the foreign bonds increases. The local currency term premia, which increase with the maturity, offset the currency risk premia. The time-series predictability of foreign bond returns in dollars similarly
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美国国家经济研究局创建时间：
2013-11-01
