Common Risk Factors in Currency Markets

Hanno Lustig, Nikolai Roussanov, Adrien Verdelhan

NBER Working Paper No. 14082
Issued in June 2008

---- Acknowledgements -----

The authors thank Andy Atkeson, Alessandro Beber, Frederico Belo, Michael Brennan, Alain Chaboud, John Cochrane, Pierre Collin-Dufresne, Magnus Dahlquist, Kent Daniel, Darrell Duffie, Xavier Gabaix, John Heaton, Urban Jermann, Don Keim, Leonid Kogan, Olivier Jeanne, Karen Lewis, Fang Li, Francis Longstaff, Pascal Maenhout, Rob Martin, Anna Pavlova, Monika Piazzesi, Richard Roll, Geert Rouwenhorst, Clemens Sialm, Rob Stambaugh, Rene Stulz, Jessica Wachter, Amir Yaron, Hongjun Yan, Moto Yogo and seminar participants at many institutions and conferences for helpful comments. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.

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