Replication data for: The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk: Comment

Name	File Type	Size	Last Modified
20070474_data_archive			10/11/2019 04:34:PM
LICENSE.txt	text/plain	14.6 KB	10/11/2019 12:34:PM

Project Citation:

Burnside, Craig. Replication data for: The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk: Comment. Nashville, TN: American Economic Association [publisher], 2011. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-11. https://doi.org/10.3886/E112487V1

Project Description

Summary: Lustig and Verdelhan (2007) argue that the excess returns to borrowing US dollars and lending in foreign currency "compensate US investors for taking on more US consumption growth risk," yet the stochastic discount factor corresponding to their benchmark model is approximately uncorrelated with the returns they study. Hence, one cannot reject the null hypothesis that their model explains none of the cross sectional variation of the expected returns. Given this finding, and other evidence, I argue that the forward premium puzzle remains a puzzle. (JEL: C58, E21, F31, G11, G12)

Scope of Project

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

Related Publications

Download this project

Published Versions

V1 [2019-10-11]

Export Metadata

Dublin Core

DDI 2.5

Report a Problem

Found a serious problem with the data, such as disclosure risk or copyrighted content? Let us know.

This material is distributed exactly as it arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigator(s) if further information is desired.