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

Version
V0
Resource Type
Dataset
Creator
  • Burnside, Craig
Publication Date
2011-12-01
Description
  • Abstract

    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)
Availability
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Relations
  • Is supplement to
    DOI: 10.1257/aer.101.7.3456 (Text)
Publications
  • Burnside, Craig. “The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk: Comment.” American Economic Review 101, no. 7 (December 2011): 3456–76. https://doi.org/10.1257/aer.101.7.3456.
    • ID: 10.1257/aer.101.7.3456 (DOI)

Update Metadata: 2020-05-18 | Issue Number: 2 | Registration Date: 2019-10-11

Burnside, Craig (2011): Replication data for: The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk: Comment. Version: V0. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/E112487