Similar Search Results

Gravity in the exchange rate factor structure

Lustig, Hanno; Richmond, Robert J. - In: The review of financial studies 33 (2020) 8, pp. 3492-3540

Persistent link: https://www.econbiz.de/10012249740

The cross section of foreign currency risk premia and consumption growth risk

Lustig, Hanno; Verdelhan, Adrien - In: The American economic review 97 (2007) 1, pp. 89-117

Persistent link: https://www.econbiz.de/10003456015

The cross-section of foreign currency risk premia and consumption growth risk

Lustig, Hanno (contributor); Verdelhan, Adrien (contributor) - 2006

Persistent link: https://www.econbiz.de/10003379661

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

Lustig, Hanno; Verdelhan, Adrien - 2005

Persistent link: https://www.econbiz.de/10002597648

The cross-section of foreign currency risk premia and consumption growth risk : a comment

Burnside, Craig - 2007

Persistent link: https://www.econbiz.de/10009559454

Note on the cross-section of foreign currency risk premia and consumption growth risk

Lustig, Hanno; Verdelhan, Adrien - 2008

"We find that the US consumption growth beta of an investment strategy that goes long in high interest rate currencies and short in low interest rate currencies is larger than one. These consumption beta estimates are statistically significant, contrary to what is claimed by Burnside (2007)....