boom yields consistently positive excess returns. This excess return compensates for the risk of high negative returns in … countries on risk aversion, and low (high) risk aversion currencies depreciate (appreciate) in times of global turmoil. …

We use a standard consumption-based asset pricing model incorporating conditioning information to explain the risk …

We use a standard consumption-based asset pricing model incorporating conditioning information to explain the risk …

than out-of-the-money calls, suggesting a large crash risk of those currencies. To evaluate crash risk precisely, we …, forward, and option data, we obtain a real-time index of the compensation for global disaster risk exposure. We find that … disaster risk accounts for more than a third of the carry trade risk premium in advanced countries over the period examined …

represent a fair compensation for currency risk, we find that non-durable consumption risk and market risk can explain excess …