The Term Structure of Currency Carry Trade Risk Premia

Many thanks to Robert Barro, Mikhail Chernov, Riccardo Colacito, Ian Dew-Becker, Emmanuel Farhi, Stefano Giglio, Gita Gopinath, Lars Hansen, Espen Henriksen, Urban Jermann, Leonid Kogan, Karen Lewis, Matteo Maggiori, Ian Martin, Stefan Nagel, Jonathan Parker, Tarun Ramadorai, Robert Ready, Jose Scheinkman, Andrea Vedolin, seminar participants at the Federal Reserve Board, Georgetown University, Harvard, LSE, LBS, MIT, UC3 in Madrid, UC Davis, the Said School at Oxford, Cass at City University London, Syracuse University, University of Bristol, UBC, University of Exeter, University of Lausanne, University of Massachusetts, University of Michigan, University of Rochester, USC, and Wharton, as well as the participants at the First Annual Conference on Foreign Exchange Markets at the Imperial College, London, the International Macro Finance Conference at Chicago Booth, the Duke/UNC Asset Pricing Conference, the WFA Meetings, and the NBER Summer Institute. A previous version of this paper circulated under the title “Nominal Exchange Rate Stationarity and Long-Term Bond Returns.” The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

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• November 6, 2013
• October 16, 2017