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- W3124275992 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. JEL: C58, E21, F31, G11, G12" @default.
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- W3124275992 date "2011-12-01" @default.
- W3124275992 modified "2023-10-14" @default.
- W3124275992 title "The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk: Comment" @default.
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- W3124275992 doi "https://doi.org/10.1257/aer.101.7.3456" @default.
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