The nominal exchange rate is both a macroeconomic variable equilibrating international markets and a financial asset that embodies expectations and prices risks associated with cross border currency holdings. Recognizing this, we adopt a joint macro-finance strategy to model the exchange rate....

We find evidence for time-varying risk premia across international bond markets. Local and global factors jointly predict returns. The global factor is closely linked to US bond risk premia and international business cycles. Movements in the global factor seem to drive risk premia and expected...

In this paper we confront the data with the financial-market folk wisdom that monetary policy is one of the key drivers of nominal exchange rates. Focusing on measures of conventional and unconventional monetary policy, we find that monetary policy surprises and changes in expectations about...

We find evidence for time-varying risk premia across international bond markets. Local and global factors jointly predict returns. The global factor is closely linked to US bond risk premia and international business cycles. Movements in the global factor seem to drive risk premia and expected...

In this paper, I show that sign and magnitude of the contemporaneous exchange rates-interest rate (ER-IR) correlation are predictable, across countries and through the risk cycle. I discuss the correlation smile, whereby the ER-IR correlation for countries at both extremes of the risk spectrum...

The exchange rate level is priced within the consumption model. Risk premia arise endogenously from covariance with future consumption. By arbitrage, and in efficient markets, all risks in the exchange rate are replicated from inflation-linked bonds, except the risk of permanent real exchange...

From the exchange rate present value model introduced in Fabre (2022), I deduce a dynamic arbitrage relation between exchange rate returns and inflation-linked bond returns. When investors do not fear persistent shocks to the real exchange rate, foreign exchange risk can be fully replicated from...

This paper uses information contained in the cross-country yield curves to test the asset-pricing approach to exchange rate determination, which models the nominal exchange rate as the discounted present value of its expected future fundamentals. Since the term structure of interest rates...

The nominal exchange rate is both a macroeconomic variable equilibrating international markets and a financial asset that embodies expectations and prices risks associated with cross border currency holdings. Recognizing this, we adopt a joint macro-finance strategy to model the exchange rate....

The position of countries in a network of external portfolio investments provides a novel macroeconomic characteristic to explain violations of uncovered interest rate parity. I derive a network centrality measure, where central countries are highly integrated with key suppliers of tradeable...