Replication data for: The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk
Principal Investigator(s): View help for Principal Investigator(s) Hanno Lustig; Adrien Verdelhan
Version: View help for Version V1
| Name | File Type | Size | Last Modified |
|---|---|---|---|
|
|
text/plain | 14.6 KB | 12/07/2019 07:29:AM |
|
|
application/vnd.ms-excel | 47 KB | 12/07/2019 07:29:AM |
|
|
application/pdf | 12.5 KB | 12/07/2019 07:29:AM |
Project Citation:
Lustig, Hanno, and Verdelhan, Adrien. Replication data for: The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk. Nashville, TN: American Economic Association [publisher], 2007. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-12-07. https://doi.org/10.3886/E116266V1
Project Description
Summary:
View help for Summary
Aggregate consumption growth risk explains why low interest rate currencies do not
appreciate as much as the interest rate differential and why high interest rate
currencies do not depreciate as much as the interest rate differential. Domestic
investors earn negative excess returns on low interest rate currency portfolios and
positive excess returns on high interest rate currency portfolios. Because high
interest rate currencies depreciate on average when domestic consumption growth
is low and low interest rate currencies appreciate under the same conditions, low
interest rate currencies provide domestic investors with a hedge against domestic
aggregate consumption growth risk. (JEL E21, E43, F31, G11)
Scope of Project
JEL Classification:
View help for JEL Classification
E21 Macroeconomics: Consumption; Saving; Wealth
E43 Interest Rates: Determination, Term Structure, and Effects
F31 Foreign Exchange
G11 Portfolio Choice; Investment Decisions
G15 International Financial Markets
E21 Macroeconomics: Consumption; Saving; Wealth
E43 Interest Rates: Determination, Term Structure, and Effects
F31 Foreign Exchange
G11 Portfolio Choice; Investment Decisions
G15 International Financial Markets
Related Publications
Published Versions
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.