The DOI matches its Crossref record; 24 of the 24 references it cites were found in a registry or an index.
The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk
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)
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Cites
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The Cross‐Section of Expected Stock Returns
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Fama, E. F., & MacBeth, J. D. (1973) · Journal of Political Economy · doi:10.1086/260061 · Cited by 14,258
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Financial Markets and the Real Economy
Cochrane, J. H. (2008) · Handbook of the Equity Risk Premium · doi:10.1016/b978-044450899-7.50014-2 · Cited by 543
Menkhoff, L., Sarno, L., Schmeling, M., & Schrimpf, A. (2012) · Journal of Financial Economics · doi:10.1016/j.jfineco.2012.06.009 · Cited by 518
Conditional risk premia in currency markets and other asset classes
Lettau, M., Maggiori, M., & Weber, M. (2014) · Journal of Financial Economics · doi:10.1016/j.jfineco.2014.07.001 · Cited by 394
Koijen, R. S. J., Moskowitz, T. J., Pedersen, L. H., & Vrugt, E. B. (2018) · Journal of Financial Economics · doi:10.1016/j.jfineco.2017.11.002 · Cited by 286
Metadata
- Authors
- Lustig, H., & Verdelhan, A.
- Venue
- American Economic Review
- Publisher
- American Economic Association
- Published
- 2007-02-01
- Volume
- 97
- Issue
- 1
- Pages
- 89-117
- ISSN
- 0002-8282 (ISSN-L)
- OpenAlex
- W3122685216
- Cited by
- 527
- References
- 24
- FWCI
- 31.88
- Type
- journal article
- Language
- en
- Open access
- closed
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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