Before revision:  Buying currencies that are receivers and selling currencies that are transmitters of short-term shocks exhibits a high Sharpe ratioand yields a significant alpha when controlling for standard dollar, carry trade, volatility, variance risk premium and momentum strategies. This profitability stems primarily from the causal nature of shock propagation and not from contemporaneous dynamics. Shock propagation at longer horizons is priced less, indicating a downward-sloping term structure of uncertainty network riskin currency markets .
After revision:  Buying currencies that are receivers and selling currencies that are transmitters of short-term shocks exhibits a high Sharpe ratioand yields a significant alpha , while network returns formed on aggregate connections, which are driven by a strong correlation component, are partially subsumed by standard factors. Long-term linkages are priced less, indicating a downward-sloping term structure of uncertainty network riskin currency markets .