The Returns to Currency Speculation
NBER Working Paper No. 12489
---- Acknowledgements ----
We thank Ravi Jagannathan for numerous discussions and suggestions. We benefited from the comments of David Backus, Lars Hansen, Bob Hodrick, and Barbara Rossi and from conversations with Kent Daniel (Goldman Sachs), Angel Serrat (J.P. Morgan), and Amitabh Arora, Antonio Silva and David Mozina (Lehman Brothers). We also thank Andrew Nowobilski for research assistance, and Kevin Ji for assistance with our data set.