I study the asset approach to exchange rates in the time--frequency domain. Using Australian data, I show that the Granger causality runs from the exchange rate to commodity prices -- a proxy for economic fundamentals. This result holds at any point in time at business cycle and higher...

I propose a state-space approach to test for international risk sharing at different horizons. Running the tests on US data <italic>vis-à-vis</italic> the rest of the world, I find that market incompleteness is pervasive: the null is rejected at all horizons.