A Habit-Based Explanation of the Exchange Rate Risk Premium

By A. Verdelhan. 2010

458 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/da2bf8f7b1b3767a1b6e7b3a053af693b214a0b7

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In Economics and Econometrics

Citations in the corpus

Countercyclical Currency Risk Premia (2013, unknown): “…risk premia that emphasize time-varying volatility of the pricing kernel and its procyclical effect on the short-term interest rate, such as Verdelhan (2010), Bansal and Shaliastovich (2008), Farhi, Fraiberger, Gabaix, Ranciere and Verdelhan (2009), and Backus, Gavazzoni, Telmer and Zin…”
Exchange Rate Disconnect in General Equilibrium (2017, unknown): “…and Mukhin (2017), we discuss various alternative microfoundations for the UIP shock wt, ranging from complete-market models of risk premia (e.g., Verdelhan 2010; Colacito and Croce 2013; Farhi and Gabaix 2016) to models of heterogeneous beliefs and expectational errors (e.g., Evans and Lyons…”
The Long-Term Sustenance of Sustainability Practices in MNCs: A Dynamic Capabilities Perspective of the Role of R&D and Internationalization (2012, unknown): “This autoregression approach is commonly used to test the persistence or lag effect of certain phenomenon in finance and economic literatures (Chen 2007; Li 2001; Verdelhan 2010).”
Sources of Entropy in Representative Agent Models (2011, methodology): “In later applications by Verdelhan (2010) and Wachter (2006), the model is parameterized to generate realistic bond yields, hence time dependence.”
The Share of Systematic Variation in Bilateral Exchange Rates (2018, background): “…(2005, 2007), DeSantis and Fornari (2008), Jurek (2008), Farhi, Fraiberger, Gabaix, Ranciere, and Verdelhan (2009), Galsband and Nitschka (2010), Verdelhan (2010), Christiansen, Ranaldo, and Soderlind (2011), Gilmore and Hayashi (2011), Hassan and Mano (2012), Menkhoff, Sarno, Schmeling, and…”
Noise as Information for Illiquidity: Noise as Information for Illiquidity (2013, unknown): “Following Lustig, Roussanov, and Verdelhan (2011), we consider 36 currencies from both developed and emerging countries.”
Ambiguity Aversion: Implications for the Uncovered Interest Rate Parity Puzzle (2012, unknown): “Hansen (2007), Hansen and Sargent (2007), Hansen and Sargent (2008a) and Ju and Miao (2009) show that, in general, a concern for misspecification for the hidden state evolution breaks this link and produces qualitatively different dynamics than simply increasing risk aversion.”
Forward and Spot Exchange Rates in a Multi-Currency World* (2018, unknown): “3Some examples include Brunnermeier et al. (2009), Verdelhan (2010), Ilut (2012), and Bacchetta and Van Wincoop (2010).”
Commodity Trade and the Carry Trade: a Tale of Two Countries (2017, background): “(1997), Verdelhan (2010)).”