We provide new empirical evidence that world currency and U.S. stock variance risk premiums have nonredundant and … risk premium are systematically rising along the line of inflation risk. We rationalize these findings in a consumption … stock and currency variance risk premiums …

This paper presents evidence that the foreign exchange appreciation is predictable by the currency variance risk … premium at a medium 6-month horizon and by the stock variance risk premium at a short 1-month horizon. Although currency … variance risk premiums are highly correlated with each other over longer horizons, their correlations with stock variance risk …

We investigate the relation between the risk premia observed in forward foreign exchange markets and international … agents' intertemporal marginal rate of substitution then the time variation in forward risk premia should be explained by the … forward contract's sensitivity to the equity portfolios and the time variation in the risk premia of those portfolios. We find …

This paper presents evidence that the foreign exchange appreciation is predictable by the currency variance risk … premium at a medium 6-month horizon and by the stock variance risk premium at a short 1-month horizon. Although currency … variance risk premiums are highly correlated with each other over longer horizons, their correlations with stock variance risk …