We develop a theory that links the US dollar's valuation in FX markets to the convenience
yield that foreign investors derive from holding US safe assets. We show that this …

We propose a dynamic general equilibrium model of exchange rate determination that
accounts for all major exchange rate puzzles, including Meese-Rogoff, Backus-Smith …

We propose a simple model of the international monetary system. We study the world supply
and demand for reserve assets denominated in different currencies under a variety of …

We examine subjective risk premia implied by return expectations of individual investors and
professionals for portfolios of stocks, bonds, currencies, and commodity futures. While in …

We apply the concept of carry, which has been studied almost exclusively in currency
markets, to any asset. A security's expected return is decomposed into its “carry,” an ex-ante …

The covered interest rate parity (CIP) condition is a fundamental arbitrage relationship in
international finance. In this chapter, we review its breakdown during the Global Financial …

Sorting countries by their dollar currency betas produces a novel cross section of average
currency excess returns. A slope factor (long in high beta currencies and short in low beta …

We propose a new model of exchange rates, based on the hypothesis that the possibility of
rare but extreme disasters is an important determinant of risk premia in asset markets. The …

To contribute to this conversation, the NBER Asset Pricing program convened a panel
discussion on “Perspectives on the Future of Asset Pricing” at its November 8, 2019, meeting …

We study the source of exchange rate fluctuations using a general equilibrium model
accommodating shocks in goods and financial markets. These shocks differ in their induced …