Term Structure of Consumption Risk Premia in the Cross Section of Currency Returns
发现货币套利回报的向下倾斜期限结构与货币对美国消费、通胀、名义利率及其随机波动的宏观经济风险暴露有关，其中利率和通胀冲击起关键作用。
ABSTRACT I relate the downward‐sloping term structure of currency carry returns to compensation for currency exposures to macroeconomic risk embedded in the joint dynamics of U.S. consumption, inflation, nominal interest rate, and their stochastic variance. The interest rate and inflation shocks play a prominent role. Higher yield currencies exhibit higher multiperiod exposures to these shocks. The prices of these risk exposures are positive and sizeable across all investment horizons. The interest rate shock is qualitatively similar to the long‐run risk of Bansal and Yaron.