This setting lets you change the way you view articles. You can choose to have articles open in a dialog window, a new tab, or directly in the same window.
Open in Dialog
Open in New Tab
Open in same window

American Economic Review: Vol. 101 No. 7 (December 2011)

AER Volume. 101, Issue 7 | leftPrevious Article

Expand

Quick Tools:

Print Article Summary Email Link to this Article Export Citation
Sign up for Email Alerts Follow us on Twitter

Explore:

AER - All Issues

AER Forthcoming Articles

The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: Reply

Article Citation

Lustig, Hanno, and Adrien Verdelhan. 2011. "The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: Reply." American Economic Review, 101(7): 3477-3500.

DOI: 10.1257/aer.101.7.3477

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. (JEL: C58, E21, F31, G11, G12)

Article Full-Text Access

Full-text Article

Additional Materials

Download Data Set (1.94 MB) | Online Appendix (227.96 KB)

Authors

Lustig, Hanno (UCLA)
Verdelhan, Adrien (MIT)

JEL Classifications

C58: Financial Econometrics
E21: Macroeconomics: Consumption; Saving; Wealth
F31: Foreign Exchange
G11: Portfolio Choice; Investment Decisions
G12: Asset Pricing; Trading volume; Bond Interest Rates


American Economic Review



AEA Member Login:


Quick Tools:

Email Link to this Issue

Sign up for Email Alerts

Follow us on Twitter

Subscription Information
(Institutional Administrator Access)

Explore:

AER - All Issues

AER - Forthcoming Articles

AEA Journals

Virtual Field Journals

AEAweb | AEA Journals | Contact Us