MIT Libraries logoDSpace@MIT

MIT
View Item 
  • DSpace@MIT Home
  • MIT Open Access Articles
  • MIT Open Access Articles
  • View Item
  • DSpace@MIT Home
  • MIT Open Access Articles
  • MIT Open Access Articles
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.

The cross section of foreign currency risk premia and consumption growth risk: Reply

Author(s)
Hanno, Lustig; Verdelhan, Adrien Frederic
Thumbnail
DownloadVerdelhan_Cross section.pdf (1.118Mb)
PUBLISHER_POLICY

Publisher Policy

Article is made available in accordance with the publisher's policy and may be subject to US copyright law. Please refer to the publisher's site for terms of use.

Terms of use
Article is made available in accordance with the publisher's policy and may be subject to US copyright law. Please refer to the publisher's site for terms of use.
Metadata
Show full item record
Abstract
The consumption growth beta of an investment strategy that goes long in high interest rate currencies and short in low interest rate currencies is large and significant. Consumption risk price differs significantly from zero, even after accounting for the sampling uncertainty introduced by the estimation of the consumption betas. The constant in the regression of average returns on consumption betas is not significant. Additionally, this investment strategy's consumption and market betas increase during recessions and times of crisis, when risk prices are high, implying that the unconditional betas understate its riskiness.
Date issued
2011-12
URI
http://hdl.handle.net/1721.1/76222
Department
Sloan School of Management
Journal
American Economic Review
Publisher
American Economic Association
Citation
Lustig, Hanno, and Adrien Verdelhan. “The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk: Reply.” American Economic Review 101.7 (2011): 3477–3500.
Version: Final published version
ISSN
0002-8282
1944-7981

Collections
  • MIT Open Access Articles

Browse

All of DSpaceCommunities & CollectionsBy Issue DateAuthorsTitlesSubjectsThis CollectionBy Issue DateAuthorsTitlesSubjects

My Account

Login

Statistics

OA StatisticsStatistics by CountryStatistics by Department
MIT Libraries
PrivacyPermissionsAccessibilityContact us
MIT
Content created by the MIT Libraries, CC BY-NC unless otherwise noted. Notify us about copyright concerns.