A wave of recent research has studied the predictability of foreign currency returns. A wide variety of forecasting … forecast and one weighted by returns. Our preferred model generates economically meaningful returns on a portfolio of nine … between our returns and a conventional set of so-called risk factors …

using a large sample of historical data for many countries. Credit boom periods tend to be followed by unusually low returns …

A wave of recent research has studied the predictability of foreign currency returns. A wide variety of forecasting … forecast and one weighted by returns. Our preferred model generates economically meaningful returns on a portfolio of nine … between our returns and a conventional set of so-called risk factors …

using a large sample of historical data for many countries. Credit boom periods tend to be followed by unusually low returns …