Online Appendix for “The Term Structure of Currency Carry Trade Risk Premia” —Not For Publication—

This Online Appendix describes additional empirical and theoretical results on foreign bond returns in U.S. dollars. Section A reports additional results on portfolios of countries sorted by the short-term interest rates. Section B reports similar results for portfolios of countries sorted by the slope of the yield curves. Section C reports additional results obtained with zero-coupon bonds. Section D compares finite to infinite maturity bond returns. Section E reports additional theoretical results on dynamic term structure models, starting with the simple Vasicek (1977) and Cox, Ingersoll, and Ross (1985) one-factor models, before turning to their k-factor extensions and the model studied in Lustig, Roussanov, and Verdelhan (2014).