, uncorrelated with the returns on well-known carry trade strategies. Using a no-arbitrage model of exchange rates we show that these …-year horizon. The estimated model implies that the variation in the exposure of U.S. investors to world-wide risk is the key driver …

, uncorrelated with the returns on well-known carry trade strategies. Using a no-arbitrage model of exchange rates we show that these …

, uncorrelated with the returns on well-known carry trade strategies. Using a no-arbitrage model of exchange rates we show that these …-year horizon. The estimated model implies that the variation in the exposure of U.S. investors to world-wide risk is the key driver …

as a predictor increases the predictability of foreign currency returns to 30% at the 12-month horizon. Using a no-arbitrage …