We present evidence that the growth of U.S.-dollar-denominated banking sector liabilities forecasts appreciations of … the U.S. dollar, both in-sample and out-of-sample, against a large set of foreign currencies. We provide a theoretical ….S. dollar funding liquidity forecasts exchange rates because of its association with time-varying risk premia. Our empirical …

been used to condition the exposure to the carry trade (long high interest rate currencies, short low interest rate … currencies) and we show that such an index has potential value in protecting a portfolio against loss during periods of stress …