Discussions
A Currency Premium Puzzle |
How Effective Are Portfolio Mandates? |
Long-Horizon Exchange Rate Expectations |
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| Authors: T. Hassan, T. Mertens, and J. Wang | Authors: Jack Favilukis, L. Garlappi, and R. Uppal | Author: L. Kremens, I. Martin, and L. Varela | ||
| Conference: Annual Meeting of the Western Finance Association, Honolulu. | Conference: 36th Mitsui Symposium: New Frontiers in Asset Pricing, Michigan-Ross. | Conference: Macro Finance Society Meeting, Federal Reserve Board. |
2023
US Risk and Treasury Convenience |
International Arbitrage Premia |
Why Do Inflation Rates Vary Across Countries? |
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| Author: G.Corsetti, E. Marin, S. Lloyd, and D. Ostry | Author: Paul Schneider and Mirela Sandulescu | Author: Bingxin Xing | ||
| Conference: SNB-FRB-BIS Third High-Level Conference on Global Risk, Uncertainty, and Volatility | Conference: Carey Annual Conference, Johns Hopkins University | Conference: Financial Management Association, Annual Meeting | ||
 Best Discussion Award |
2021
A Portfolio Approach to Global Imbalances |
Pricing Poseidon: Extreme Weather Uncertainty and Firm Return Dynamic |
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| Author: Z. Jiang, R. Richmond, and T. Zhang, | Author: M. Kruttli, B. Roth Tran, and S. Watugala | |||
| Conference: Annual Meeting of the European Finance Association | Conference: Annual Meeting of the American Finance Association |
2020
Climate Change and Uncertainty: An Asset Pricing Perspective |
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| Author: Michael Barnett | ||||
| Conference: SFS Finance Cavalcade |
2019
Exchange Rate Reconnect: Capital Flows and Currency Dynamics |
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| Author: Andrew Lilly, Matteo Maggiori, Brent Neiman, and Jesse Schreger | ||||
| Conference: Annual Meeting of the American Finance Association |
2018
International Currencies and Capital Allocation |
Model-Free International Stochastic Discount Factors |
Integrated Markets: Economic or Financial Integration? |
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| Author: M. Maggiori, B. Nieman, and J. Schreger | Author: F. Trojani, A. Vedolin, and M. Sandulescu | Author: A. Akbari, L. Ng, and B. Solnik | ||
| Conference: Macro Finance Society, Fall Meeting, Austin. | Conference: European Finance Association, Warsaw. | Conference: Finance Down Under, University of Melbourne | ||
| Best Discussion Award |
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Business Cycles and Currency Returns |
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| Author: Steven Riddiough and Lucio Sarno | ||||
| Conference: Annual Meeting of the American Finance Association, Philadelphia. |
2017
Disagreement vs. Uncertainty: Investment Dynamics and Business Cycle |
Accounting for macro-finance trends: a rising equity premium? |
Gravity in FX R^2 : Understanding the Factor Structure in Exchange Rates |
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| Author: Calvin Du Jia. | Author: E. Fahri and F. Gourio | Author: Hanno Lustig and Rob Richmond. | ||
| Conference: Finance Symposium at Renmin University, Beijing | Conference: Annual Meeting of the Southern Economic Association | Conference: Network applications in Finance and Macro, LSE. | ||
Price of Long-Run Temperature Shifts in Capital Markets |
Uncertainty, the Exchange Rate and International Capital Flows |
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| Author:Ravi Bansal, Dana Kiku, Marcelo Ochoa. | Author:Robert Kollmann. | |||
| Conference: SFS Finance Cavalcade, Vanderbilt. | Conference: Annual Meeting of the American Finance Association, Chicago. |
2016
A macrofinance view of US sovereign CDS premiums |
Trade centrality and Currency Risk Premia |
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| Authors: M. Chernov, L. Schmid, and A. Schneider. | Authors: Robert Richmond | |||
| Conference: NBER Summer Institute Asset Pricing Program, Cambridge. | Conference: Fourth Annual Conference in International Finance, Hong Kong. |
2015
Not So Disconnected: Exchange Rates and the Capital Stock |
Risk Sharing in International Economies and Market Incompleteness |
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| Authors: Hassan, Mertens, and Zhang | Authors: Bakshi, Cerrato, and Cosby. | |||
| Conference: Sixth Meeting of the Macro Finance Society, University of Pennsylvania, Philadelphia. | Conference: International Finance Conference, University of Copenhagen, Copenhagen |
2014
Climate Change and Growth Risks |
The Term Structure of Currency Carry Trade Risk Premia |
Commodity Trade and the Carry Trade: A Tale of Two Countries |
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| Authors: Ravi Bansal, Dana Kiku, and Marcelo Ochoa. | Authors: Lustig, Stathopoulos, and Verdelhan. | Authors: Ready, Roussanov, and Ward. | ||
| Conference: The Next Generation of Climate Change Models, University of Minnesota, Minneapolis. | Conference: Duke/UNC Asset Pricing Conference, Duke University | Conference: International Economics and Finance Society, Philadelphia |
2013
Intertemporal Relation between Risk and Return: Panel Quantile Regression Approach |
Conditional Currency Risk Premia |
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| Authors: Jau-Er Chen. | Authors: Lettau, Maggiori, and Weber | |||
| Conference: NYU Alumni Conference, New York. | Conference: SFS Cavalcade, Miami. |
2012
Market Prices of Risk with Diverse Beliefs, Learning, and Catastrophes |
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| Authors: T. Cogley, T. Sargent, and V. Tsyrennikov. | ||||
| Conference: American Economic Association Meeting, Chicago. |
2011
Robustly Optimal Monetary Policy in a Microfounded Model |
A Sentiment-based Explanation of the Forward Premium Puzzle |
FX Comovements: Disentangling the Role of Market Factors, Carry Trades and Idiosyncratic Components |
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| Authors: K. Adam and M. Woodford | Authors: J. Yu. | Authors: Jose’ G. Rangel. | ||
| Conference: European Central Bank, Frankfurt, Germany | Conference: Western Finance Association Meeting, Santa Fe, New Mexico | Conference: Bank for International Settlements CCA Conference, Bank of Canada, Ottawa | ||
Long and Short Run Correlation Risk in Stock Returns |
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| Authors: M. Cosemans. | ||||
| Conference: Winter Meetings of the Econometric Society, Denver. |
2010
Common Risk Factors in Currency Markets |
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| Authors: Lustig, Roussanov, and Verdehlan. | ||||
| Conference: Annual Meetings of the American Finance Association, Atlanta. |
2009
Global Liquidity, Asset Prices and Monetary Policy: A GVAR Perspective |
Housing as a measure of long-run risks |
Deep Habits and the Cross-section of Asset Returns |
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| Authors: Julia V. Giese and Christin K. Tuxen. | Author: Jose’ Fillat. | Author: Jules van Binsbergen. | ||
| Conference: Infiniti Conference, Trinity College, Dublin. | Conference: Annual Meetings of the American Finance Association, San Francisco. | Conference: Annual Meetings of the American Finance Association, San Francisco. |
2008
Learning, Long-Run Risks and Asset Price Jumps |
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| Authors: Bansal and Shaliastovich. | ||||
| Conference: Annual Meetings of the American Economic Association, New Orleans. |
2007
Long Run Asset Allocation |
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| Authors: Ravi Bansal and Dana Kiku. | ||||
| Conference: Annual Meetings of the Western Finance Association, Big Sky, MO. |