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

dc.contributor.author	Burnside, A. Craig	en_US
dc.date.accessioned	2010-03-09T15:42:06Z
dc.date.available	2010-03-09T15:42:06Z
dc.date.issued	2007	en_US
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 these excess returns are all approximately uncorrelated with the consumption risk factors they study. Hence, their model cannot explain the cross-sectional variation of the returns. Their positive assessment results from allowing for a large constant in the model, and from ignoring sampling uncertainty in estimated betas used as explanatory variables in cross-sectional regressions that determine estimated consumption risk premia.	en_US
dc.format.extent	401736 bytes
dc.format.mimetype	application/pdf
dc.language.iso	en_US
dc.publisher	SSRN eLibrary	en_US
dc.subject	consumption risk premia	en_US
dc.subject	cross sectional variation of returns	en_US
dc.subject	excess returns	en_US
dc.subject	onsumption growth risk	en_US
dc.title	The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: A Comment	en_US
dc.type	Journal Article	en_US
dc.department	Economics