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The Cross-Section of Foreign Currency Risk Premia and US Consumption Growth Risk (joint with Adrien Verdelhan)(updated February 2006)

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  • Hanno Lustig

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Bibliographic Info

Paper provided by UCLA Department of Economics in its series UCLA Economics Online Papers with number 303.

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Date of creation: 27 Jul 2004
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Handle: RePEc:cla:uclaol:303

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Web page: http://www.econ.ucla.edu/

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  1. Bansal, Ravi & Dahlquist, Magnus, 1999. "The Forward Premium Puzzle: Different Tales from Developed and Emerging Economies," CEPR Discussion Papers, C.E.P.R. Discussion Papers 2169, C.E.P.R. Discussion Papers.
  2. Carmen M. Reinhart & Kenneth S. Rogoff & Miguel A. Savastano, 2003. "Debt Intolerance," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 34(1), pages 1-74.
  3. Martin Lettau & Sydney Ludvigson, 1999. "Resurrecting the (C)CAPM: a cross-sectional test when risk premia are time-varying," Staff Reports, Federal Reserve Bank of New York 93, Federal Reserve Bank of New York.
  4. Manmohan Singh, 2003. "Recovery Rates From Distressed Debt," IMF Working Papers 03/161, International Monetary Fund.
  5. Burton Hollifield & Armir Yaron, . "The Foreign Exchange Risk Premium: Real and Nominal Factors," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business 2001-E13, Carnegie Mellon University, Tepper School of Business.
  6. John Y. Campbell, 2002. "Consumption-Based Asset Pricing," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research 1974, Harvard - Institute of Economic Research.
  7. Campbell R. Harvey & Bruno Solnik & Guofu Zhou, 2002. "What Determines Expected International Asset Returns?," CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics 503, China Economics and Management Academy, Central University of Finance and Economics.
  8. Hanno N. Lustig & Stijn G. Van Nieuwerburgh, 2005. "Housing Collateral, Consumption Insurance, and Risk Premia: An Empirical Perspective," Journal of Finance, American Finance Association, American Finance Association, vol. 60(3), pages 1167-1219, 06.
  9. Adrien Verdelhan, 2005. "A Habit-Based Explanation of the Exchange Rate Risk Premium," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics WP2005-032, Boston University - Department of Economics.
  10. Monika Piazzesi & Martin Schneider & Selale Tuzel, 2004. "Housing, Consumption and Asset Pricing," 2004 Meeting Papers, Society for Economic Dynamics 357c, Society for Economic Dynamics.
  11. Campbell, John & Cochrane, John, 2000. "Explaining the Poor Performance of Consumption-Based Asset Pricing Models," Scholarly Articles 3163265, Harvard University Department of Economics.
  12. Fernando Alvarez & Andrew Atkeson & Patrick J. Kehoe, 2000. "Money, interest rates, and exchange rates with endogenously segmented markets," Staff Report, Federal Reserve Bank of Minneapolis 278, Federal Reserve Bank of Minneapolis.
  13. Andrews, Donald W K, 1991. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, Econometric Society, Econometric Society, vol. 59(3), pages 817-58, May.
  14. David K. Backus & Gregor W. Smith, 1993. "Consumption and Real Exchange Rates in Dynamic Economies with Non-Traded Goods," Working Papers, Queen's University, Department of Economics 1252, Queen's University, Department of Economics.
  15. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, Econometric Society, vol. 50(4), pages 1029-54, July.
  16. repec:rus:hseeco:123922 is not listed on IDEAS
  17. Tano Santos & Pietro Veronesi, 2001. "Labor Income and Predictable Stock Returns," NBER Working Papers 8309, National Bureau of Economic Research, Inc.
  18. Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, Elsevier, vol. 14(1-2), pages 3-24, February.
  19. Bekaert, Geert & Hodrick, Robert J., 1993. "On biases in the measurement of foreign exchange risk premiums," Journal of International Money and Finance, Elsevier, Elsevier, vol. 12(2), pages 115-138, April.
  20. Sergei Sarkissian, 2003. "Incomplete Consumption Risk Sharing and Currency Risk Premiums," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 16(3), pages 983-1005, July.
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