-year horizon. The estimated model implies that the variation in the exposure of U.S. investors to world-wide risk is the key driver … excess returns compensate U.S. investors for taking on aggregate risk by shorting the dollar in bad times, when the U ….S. price of risk is high. The counter-cyclical variation in risk premia leads to strong return predictability: the average …

excess returns compensate U.S. investors for taking on aggregate risk by shorting the dollar in bad times, when the price of … risk is high. The counter-cyclical variation in risk premia leads to strong return predictability: the average forward …

-year horizon. The estimated model implies that the variation in the exposure of U.S. investors to world-wide risk is the key driver … excess returns compensate U.S. investors for taking on aggregate risk by shorting the dollar in bad times, when the U ….S. price of risk is high. The counter-cyclical variation in risk premia leads to strong return predictability: the average …

-arbitrage model of exchange rates we show that the counter-cyclical dollar risk premium reflects time-varying compensation to U ….S. investors for taking on U.S. specific risk by shorting the dollar. The model implies that predictability of exchange rate …

In this paper we show that temperature is an aggregate risk factor that adversely affects economic growth. Our argument … temperature (i.e., temperature betas) contains sharp information about the cross-country risk premium; countries closer to the … Equator carry a positive temperature risk premium which decreases as one moves farther away from the Equator. The differences …

In this paper we show that temperature is an aggregate risk factor that adversely affects economic growth. Our argument … temperature (i.e., temperature betas) contains sharp information about the cross-country risk premium; countries closer to the … Equator carry a positive temperature risk premium which decreases as one moves farther away from the Equator. The differences …