Replication data for: The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: Reply
Principal Investigator(s): View help for Principal Investigator(s) Hanno Lustig; Adrien Verdelhan
Version: View help for Version V1
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Project Citation:
Lustig, Hanno, and Verdelhan, Adrien. Replication data for: The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: Reply. 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/E112488V1
Project Description
Summary:
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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)
Scope of Project
JEL Classification:
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C58 Financial Econometrics
E21 Macroeconomics: Consumption; Saving; Wealth
F31 Foreign Exchange
G11 Portfolio Choice; Investment Decisions
G12 Asset Pricing; Trading Volume; Bond Interest Rates
C58 Financial Econometrics
E21 Macroeconomics: Consumption; Saving; Wealth
F31 Foreign Exchange
G11 Portfolio Choice; Investment Decisions
G12 Asset Pricing; Trading Volume; Bond Interest Rates
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