scholarly journals The Term Structure of Currency Carry Trade Risk Premia

2013 ◽  
Author(s):  
Hanno N. Lustig ◽  
Andreas Stathopoulos ◽  
Adrien Verdelhan
Keyword(s):  
Term Structure ◽  
Risk Premia ◽  
Carry Trade

scholarly journals The Term Structure of Currency Carry Trade Risk Premia

2013 ◽  
Author(s):  
Hanno Lustig ◽  
Andreas Stathopoulos ◽  
Adrien Verdelhan
Keyword(s):  
Term Structure ◽  
Risk Premia ◽  
Carry Trade

scholarly journals The Term Structure of Currency Carry Trade Risk Premia

2019 ◽  
Vol 109 (12) ◽  
pp. 4142-4177 ◽  
Author(s):  
Hanno Lustig ◽  
Andreas Stathopoulos ◽  
Adrien Verdelhan
Keyword(s):  
Term Structure ◽  
Developed Countries ◽  
Risk Premia ◽  
Investment Horizon ◽  
Carry Trade ◽  
No Arbitrage ◽  
Bond Returns ◽  
Foreign Bonds ◽  
Term Premia

Fixing the investment horizon, the returns to currency carry trades decrease as the maturity of the foreign bonds increases. Across developed countries, the local currency term premia, which increase with the maturity of the bonds, offset the currency risk premia. Similarly, in the time-series, the predictability of foreign bond returns in dollars declines with the bonds’ maturities. Leading no-arbitrage models in international finance do not match the downward term structure of currency carry trade risk premia. We derive a simple preference-free condition that no-arbitrage models need to reproduce in the absence of carry trade risk premia on long-term bonds. (JEL E43, G12, G15)

Risk Premia and Wishart Term Structure Models

2010 ◽  
Author(s):  
Carl Chiarella ◽  
Chih-Ying Hsiao ◽  
Thuy Duong To
Keyword(s):  
Term Structure ◽  
Risk Premia ◽  
Term Structure Models
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