that the fraction of unpriced risk in these assets is at least 85%. Extant explanations of carry strategies based on …

a sticky-price alternative to Lucas's (1982) exchage rate risk premium model. We show that the level risk premium' in …

hedging non-dollar borrowing rates. These results have implications for the practice of hedging non-dollar interest rate risk … measure its hedging effectiveness. This synthetic Eurocurrency interest rate futures contract is obtained by combining … interest rate parity relationship. In theory, the cash flows of the synthetic contract perfectly replicate the cash flows of a …

volatility on international trade. A common explanation is the availability of hedging instruments. This paper examines the … empirical validity of this explanation using data on over 1,000 country pairs. Which countries have currency hedging instruments …. There are two main findings. First, there is no evidence in the data to support the validity of the hedging hypothesis …

The Global Financial Crisis initiated a period of market turbulence and increased counterparty risk for financial … to the pre-crisis period. This shift may be the result of a perceived increase in counterparty risk among banks, as well …

This paper examines the determination of risk premiums in foreign exchange markets. The statistical model is based on a … heteroskedasticity. We find that there is evidence for heteroskedasticity and that the conditional expectation of the risk premium is a …

risks. Portfolios hedging macro uncertainty have historically earned zero or even significantly positive returns, while … a simple extension of the long-run risk model …

comparable to that of returns in stock markets. Evidence is shown that there may be only minimal possibility of cross hedging … examined. Such markets, by allowing hedging of these aggregate income risks, might make for dramatically more effective … international macroeconomic risk sharing than is possible today. Retail institutions are described that might develop around such …

average risk tolerance across investors. The same constant applies to every real foreign investment held by every investor … market risk premia, an average of world market volatilities, and an average of exchange rate volatilities, where we take the … exchange risk approaches zero, the constant will be equal to one minus the ratio of the variance of the world market return to …

the unpriced risk. We apply our methodology to hedge out unpriced risk in the Fama and French (2015) five-factors. We find …