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

• 成果类型: Article
• 署名作者: Lustig, Hanno; Verdelhan, Adrien
• 署名单位: University of California System; University of California Los Angeles; National Bureau of Economic Research; Boston University
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.97.1.89
• 发表日期: 2007
• 页码: 89-117
• 关键词: exchange-rates; asset prices; term structure; models; substitution; equilibrium; returns

摘要

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.