TY - BOOK ID - 137423901 TI - Currency Risk Premiums : A Multi-horizon Perspective AU - Chernov, Mikhail. AU - Dahlquist, Magnus. AU - National Bureau of Economic Research. PY - 2023 PB - Cambridge, Mass. National Bureau of Economic Research DB - UniCat UR - https://www.unicat.be/uniCat?func=search&query=sysid:137423901 AB - We review the literature on multi-horizon currency risk premiums. We show how the multi-horizon implications arise from the classic present-value relationship. We further show how these implications manifest themselves in the interaction between bond and currency risk premiums. This link is strengthened by explicitly accounting for stochastic discount factors. Information about currency risk premiums at different horizons presents a wealth of new evidence and challenges for existing models. ER -