; ; ; "ActiveFedora::Aggregation::ListSource" . a , ; "Time-Varying Risk, Interest Rates, and Exchange Rates in General Equilibrium"; ; "batchuser@example.com"; "Atkeson, Andrew", "Alvarez, Fernando, 1964-", "Kehoe, Patrick J."; "Federal Reserve Bank of Minneapolis"; "Fama Puzzle", "Asset Pricing-Puzzle", "Time-Varying Conditional Variances", "Pricing Kernel", "Forward Premium Anomaly", "Segmented Markets"; "F31 - Foreign Exchange", "G15 - International Financial Markets", "F41 - Open Economy Macroeconomics", "G12 - Asset Pricing; Trading Volume; Bond Interest Rates", "E43 - Interest Rates: Determination, Term Structure, and Effects", "F30 - International Finance: General"; "Under mild assumptions, the data indicate that fluctuations in nominal interest rate differentials across currencies are primarily fluctuations in time-varying risk. This finding is an immediate implication of the fact that exchange rates are roughly random walks. If most fluctuations in interest differentials are thought to be driven by monetary policy, then the data call for a theory which explains how changes in monetary policy change risk. Here we propose such a theory based on a general equilibrium monetary model with an endogenous source of risk variation—a variable degree of asset market segmentation."^^; "2007-09"; "2019-06-21T15:36:32.043519856+00:00"^^; "https://doi.org/10.21034/sr.371"; ; "https://creativecommons.org/licenses/by-nc/4.0/"; "2020-11-18T20:44:46.007457524+00:00"^^; "https://creativecommons.org/licenses/by-nc/4.0/"; "Research Paper"; "393", "20", "39"; "Staff report (Federal Reserve Bank of Minneapolis. Research Department)"; "371"; "Forward Premium Anomaly", "Segmented Markets", "Pricing Kernel", "Time-Varying Conditional Variances", "Asset Pricing-Puzzle", "Fama Puzzle"; ; ; ; ; "Federal Reserve Bank of Minneapolis. Research Department"; """Published in: _Review of Economic Studies_ (Vol. 76, No. 3, July 2009, pp. 851-878) https://doi.org/10.1111/j.1467-937X.2009.00537.x. An earlier version of this Staff Report was published as [Working Paper 627](https://doi.org/10.21034/wp.627)."""^^; ; "Publication" . ; .