cross-section of currency risk premia and US consumption growth risk

  • 45 Pages
  • 0.12 MB
  • 5183 Downloads
  • English
by
National Bureau of Economic Research , Cambridge, Mass
Foreign exchange rates -- Econometric models, Investments -- United States -- Econometric m
Statementby Hanno Lustig, Adrien Verdelhan.
SeriesNBER working paper series -- no. 11104., Working paper series (National Bureau of Economic Research) -- working paper no. 11104.
ContributionsVerdelhan, Adrien., National Bureau of Economic Research.
The Physical Object
Pagination45 p. :
ID Numbers
Open LibraryOL17625427M
OCLC/WorldCa57732914

The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk By HANNO LUSTIG AND ADRIEN VERDELHAN* 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.

The Cross-Section of Currency Risk Premia and US Consumption Growth Risk Hanno Lustig and Adrien Verdelhan NBER Working Paper No. FebruaryRevised September JEL No. G0, F3 ABSTRACT Aggregate consumption growth risk explains why low interest rate currencies do not appreciate as.

The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: A Comment Craig Burnsidey February Abstract Lustig and Verdelhan () argue that the excess returns to borrowing US dol-lars and lending in foreign currency ficompensate US investors for taking on more US consumption growth risk,flyet the stochastic discount.

The Cross-Section of Currency Risk Premia and Us Consumption Growth Risk. NBER Working Paper No. w We find that low interest rate currencies provide US investors with a hedge against US aggregate consumption growth risk, because these currencies appreciate on average when US consumption growth is low, while high interest rate Cited by:   The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk.

We find that low interest rate currencies provide US investors with a hedge against US aggregate consumption growth risk, because these currencies appreciate on average when US consumption growth is low, while high interest rate currencies depreciate when US Cited by: The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: A Comment Craig Burnside NBER Working Paper No.

MayRevised July JEL No. F31,G12 ABSTRACT Lustig and Verdelhan () argue that the excess returns to borrowing US. The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk: Comment by Craig Burnside.

Published in volumeissue 7, pages of American Economic Review, DecemberAbstract: Lustig and Verdelhan () argue that the excess returns to borrowing US dollars and lendin. THE CROSS-SECTION OF FOREIGN CURRENCY RISK PREMIA AND CONSUMPTION GROWTH RISK Hanno Lustig and Adrien Verdelhan ⁄ UCLA/NBER and Boston University August Abstract Aggregate consumption growth risk explains why low interest rate currencies do not appreciate as much as the interest rate difierential and why high interest rate.

Hanno Lustig, "The Cross-Section of Foreign Currency Risk Premia and US Consumption Growth Risk (joint with Adrien Verdelhan)(updated February )," UCLA Economics Online PapersUCLA Department of Economics.

Download cross-section of currency risk premia and US consumption growth risk FB2

Handle: RePEc:cla:uclaol On the one hand, currencies that appreciate on average when US consumption growth is Currency Risk Premia and the SDF.—In the high and depreciate when US consumption case of complete markets, investing in foreign growth is low earn positive conditional risk currency amounts to shorting a claim that pays premia.

The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk by Hanno Lustig and Adrien Verdelhan. Published in vol issue 1, pages of American Economic Review, MarchAbstract: Aggregate consumption growth risk explains why low.

The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk: Comment* By Craig Burnside* Hanno Lustig and Adrien Verdelhan () claim that aggregate consumption growth risk explains the excess returns to borrowing US dollars to finance lending in other currencies. They reach this conclusion after estimating a consumption-based.

Lustig, H. & Verdelhan, A., "The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk," Working papersBanque de France. Hanno Lustig & Adrien Verdelhan, "The Cross-Section of Foreign Currency Risk Premia and US Consumption Growth Risk," Meeting Papers c, Society for Economic Dynamics.

The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk By HANNO LUSTIG AND ADRIEN VERDELHAN* 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.

Motivation Data and FX Portfolios The Cross-section of Macro Currency Risk Premia Drivers of Predictability and Risk Premia Conclusion The Cross-section of Macro Currency Risk Premia The portfolio sorts - real GDP and money Rank currencies by di erentials in growth rates of real GDP and money Consider long-term 5-yr rolling averages of growth rates.

The Cross-Section of Currency Risk Premia and US Consumption Growth Risk. We find that low interest rate currencies provide US investors with a hedge against US aggregate consumption growth risk, because these currencies appreciate on average when US consumption growth is low, while high interest rate currencies depreciate when US.

The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk: Reply The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: A.

The cross section of foreign currency risk premia and consumption growth risk: Comment. American Economic Review, (7). /aer BibTeX @ARTICLE{Lustig07thecross-section, author = {Presented Hanno Lustig and Hanno Lustig and Adrien Verdelhan}, title = {The cross-section of foreign currency risk premia and us consumption growth risk}, journal = {American Economic Review}, year = {}, pages = {}}.

Our Previous Paper.â In a previous paper entitled â The Cross-Section of Currency Risk Premia and Consumption Growthâ (Lustig and Verdelhan ) we showed that, on average, high interest rate currencies are more exposed to aggregate consumption growth risk than low interest rate currencies in a sample with 81 currencies spanning 50 years of.

Get this from a library. The cross-section of currency risk premia and US consumption growth risk. [Hanno Lustig; Adrien Verdelhan; National Bureau of Economic Research.] -- "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.

The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk Lustig, Hanno; Verdelhan, Adrien from the currency-speciï¬ c component 1 See Eugene F.

Fama (), one the initial advocates building portfolios, for a clear exposition. CiteSeerX - Document Details (Isaac Councill, Lee Giles, Pradeep Teregowda): 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. Currency risk premia compensate the US investor for US consumption growth risk and the size of the risk premium increases in bad times.

Low interest rate currencies have negative US consumption growth betas while high interest rate currencies have positive US consumption growth betas.

Details cross-section of currency risk premia and US consumption growth risk PDF

Get this from a library. The cross-section of currency risk premia and US consumption growth risk. [Hanno Lustig; Adrien Verdelhan]. The Cross-Section of Currency Risk Premia and US Consumption Growth Risk. By Hanno Lustig and Adrien Verdelhan.

Get PDF ( KB) 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.

Hanno N. Lustig, Adrien Verdelhan, The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk, SSRN Electronic Journal, /ssrn, (). Crossref Craig W. French, Jim Kyung-Soo Liew, Hedge Fund Investing: Some Quantitative Notes, SSRN Electronic Journal, /ssrn, ().

The Cross-Section of Foreign Currency Risk Premia and US Consumption Growth Risk: A Reply, with Hanno Lustig. American Economic Review, DecemberVol.

Description cross-section of currency risk premia and US consumption growth risk PDF

pp. (pdf). 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. H. Lustig, A. VerdelhanThe cross section of foreign currency risk premia and consumption growth risk: reply American Economic Review, (), pp.

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.

of consumption growth, and consumption growth itself. My focus is on identifying such shocks, measuring their impact on currency prices in the cross-section and at di erent investment horizons, and understanding their relative importance for multi-period currency risk premia.

An in.Lustig and Verdelhan () 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.limit my discussion to papers that interpret currency risk premia as compensation for consumption risk.

On the empirical front, Cumby (), Sarkissian () and Lustig and Verdelhan () study the ability of the consumption growth factor to explain the cross-section of currency returns. Cumby () shows that the ex-ante.