Faculty of Business and Economics
Level 11 198 Berkeley Street
Melbourne, Victoria 3010
University of Melbourne
Currency Risk Premium; Global Imbalances; Foreign Exchange Excess Returns; Carry Trade
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carry trade, currency risk premium, foreign exchange excess returns, global imbalances
foreign exchange volume, informed trading, return reversal, transaction costs
exchange rates; currency risk premium; business cycles; long-run risk.
This is a National Bureau of Economic Research Paper. NBER charges a fee of
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business cycles, currency risk premium, Exchange Rates, Long-run risk
global currency hedging, currency risk factors, currency returns, international portfolio diversification, mean-variance optimization.
Cross-border banking flows, global risk, parent banks and foreign affiliates
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