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

Version
V0
Resource Type
Dataset
Creator
  • Lustig, Hanno
  • Verdelhan, Adrien
Publication Date
2011-12-01
Description
  • 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)
Availability
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Relations
  • Is supplement to
    DOI: 10.1257/aer.101.7.3477 (Text)
Publications
  • Lustig, Hanno, and Adrien Verdelhan. “The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk: Reply.” American Economic Review 101, no. 7 (December 2011): 3477–3500. https://doi.org/10.1257/aer.101.7.3477.
    • ID: 10.1257/aer.101.7.3477 (DOI)

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

Lustig, Hanno; Verdelhan, Adrien (2011): Replication data for: The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: Reply. Version: V0. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/E112488