Shin, Hyun Song; Etula, Erkko; Adrian, Tobias - Society for Economic Dynamics - SED - 2010
We present evidence that the funding liquidity aggregates of U.S. financial intermediaries forecast exchange rate growth---at weekly, monthly, and quarterly horizons, both in-sample and out-of-sample, and for a large set of currencies. We estimate prices of risk using a cross-sectional asset...