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

Version
1
Resource Type
Dataset
Creator
  • Lustig, Hanno
  • Verdelhan, Adrien
Publication Date
2007-03-01
Description
  • Abstract

    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)
Availability
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Relations
  • Is supplement to
    DOI: 10.1257/aer.97.1.89 (Text)
Publications
  • Lustig, Hanno, and Adrien Verdelhan. “The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk.” American Economic Review 97, no. 1 (February 2007): 89–117. https://doi.org/10.1257/aer.97.1.89.
    • ID: 10.1257/aer.97.1.89 (DOI)

Update Metadata: 2020-05-18 | Issue Number: 2 | Registration Date: 2019-12-07

Lustig, Hanno; Verdelhan, Adrien (2007): Replication data for: The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk. Version: 1. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/E116266V1