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dc.contributor.author Burnside, C
dc.date.accessioned 2010-03-09T15:42:06Z
dc.date.issued 2011-12-01
dc.identifier.citation American Economic Review, 2011, 101 (7), pp. 3456 - 3476
dc.identifier.issn 0002-8282
dc.identifier.uri http://hdl.handle.net/10161/2034
dc.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.
dc.format.extent 3456 - 3476
dc.format.mimetype application/pdf
dc.language.iso en_US
dc.relation.ispartof American Economic Review
dc.relation.isversionof 10.1257/aer.101.7.3456
dc.title The cross section of foreign currency risk premia and consumption growth risk: Comment
dc.type Journal Article
dc.department Economics
pubs.issue 7
pubs.organisational-group /Duke
pubs.organisational-group /Duke/Trinity College of Arts & Sciences
pubs.organisational-group /Duke/Trinity College of Arts & Sciences/Economics
pubs.publication-status Published
pubs.volume 101

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