I study crash risk in currency markets by means of a proxy for global skewness, which measures the aggregate asymmetry of daily changes in spot exchange rates involved in a carry-trade portfolio. I find that this factor is priced in the cross-section of individual currencies. The premium for...

The failure to empirically prove uncovered interest rate parity conditions seems to be related to the presence of risk premia on foreign currencies. Recent studies suggest that either consumption- or currency-return-based pricing factors explain the cross section of foreign currency portfolio...

Uncovered interest rate parity, together with long-run relative purchase power parity, implies that the real exchange rate has predictive power for real bond return differentials. We show this implication to be at odds with the data. Hence, we provide new (indirect) evidence of time-varying...