We examine the ability of existing and new factor models to explain the comovements of G10- currency changes, measured using the novel concept of "currency baskets", representing the overall movement of a particular currency. Using a clustering technique, we find a clear two-block structure in...

The paper explores empirically the tight links between exchange rates and the global network of equity holdings. Exchange rates can be expressed in terms of "equity net currency supplies", i.e. local currency stock market capitalization minus equity holdings, denominated in investors'...

It is well known that high-frequency asset returns are fat-tailed relative to the Gaussian distribution tails are typically reduced but not eliminated when returns are standardized by volatilities estimated from popular models such as GARCH. We consider two major dollar exchange rates, and we...

We use data from a large web-based job platform to study how the price of remote work is determined in a globalized labor market. In the platform, workers from around the world compete for jobs that can be done remotely. We document that, despite the global nature of the marketplace, the...

We document five novel facts about Uncovered Interest Parity (UIP) deviations vis-à-vis the U.S. dollar for 34 currencies of advanced economies and emerging markets, using survey data on expected exchange rate. First, the UIP premium co-moves with global risk perception (VIX) for all...