A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets
---- Acknowledgements ----
We would like to thank the participants of the SED 2012 meeting, Financial Research Association meeting, UBC Winter Conference, Duke University, University of Zurich and Wharton School, Geert Bekaert, Tim Bollerslev, Mikhail Chernov, Riccardo Colacito, Max Croce, Gregory Duffee, Bjorn Eraker, David Hsieh, Monika Piazzesi, Nikolai Roussanov, Ken Singleton, George Tauchen, Andrea Vedolin, Adrien Verdelhan, Pietro Veronesi, and Amir Yaron. Ravi Bansal (email: firstname.lastname@example.org, tel: 919-660-7758) is affiliated with the Fuqua School of Business, Duke University, and NBER. Send correspondence to Ivan Shaliastovich (email: email@example.com, tel: 215-746-0005), Wharton School, University of Pennsylvania. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.