The U.S. Dollar and variance risk premia imbalances
提出了一个预测美元走势的新指标：方差风险溢价失衡（VPI），即美国与非美国国家方差风险溢价的差值。VPI能显著预测月度美元变动，解释约10%的下月美元因子变化，并为投资者带来经济价值。
Abstract We present a novel predictor for the Dollar factor: variance risk premia imbalances (VPI), defined as the difference in variance risk premium between the U.S. and non‐U.S. countries. We argue that VPI theoretically proxies the average volatility differential between the U.S. and non‐U.S. stochastic discount factors. VPI significantly predicts monthly U.S. dollar movements, explains roughly 10% of next‐month Dollar factor variation, and generates significant economic value for investors. We rationalize our findings in a simple consumption‐based asset pricing model.