NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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Multihorizon Currency Returns and Purchasing Power Parity

Mikhail Chernov, Drew D. Creal

NBER Working Paper No. 24563
Issued in April 2018, Revised in July 2018

---- Acknowledgments ----

We thank Michael Bauer, Magnus Dahlquist, Valentin Haddad, Lars Lochstoer, Rob Richmond, Rosen Valchev, and Cynthia Wu for comments on earlier drafts and participants in seminars at and conference sponsored by BIS, Boston Fed, Chicago Fed, Copenhagen, Dallas Fed, EDHEC, Erasmus, Northwestern, Oklahoma, SITE 2017, Tinbergen Institute, UT Dallas, UCLA Macro-Finance brown bag. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

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