Adrien Verdelhan
Personal Details
First Name: | Adrien |
Middle Name: | |
Last Name: | Verdelhan |
Suffix: | |
RePEc Short-ID: | pve80 |
http://web.mit.edu/adrienv/www/ | |
MIT Sloan School of Management Department of Finance 77 Massachusetts Avenue, E62-621 Cambridge, MA 02139-4307 | |
Terminal Degree: | Department of Economics; University of Chicago (from RePEc Genealogy) |
Affiliation
(in no particular order)
Sloan School of Management
Massachusetts Institute of Technology (MIT)
Cambridge, Massachusetts (United States)http://mitsloan.mit.edu/
617-253-2659
50 Memorial Drive, Cambridge, Massachusetts 02142
RePEc:edi:ssmitus (more details at EDIRC)
National Bureau of Economic Research (NBER)
Cambridge, Massachusetts (United States)http://www.nber.org/
617-868-3900
1050 Massachusetts Avenue, Cambridge, Massachusetts 02138
RePEc:edi:nberrus (more details at EDIRC)
Banque de France (Bank of France)
Paris, Francehttp://www.banque-france.fr/
B.P. 140-01 75049 Paris Cedex 01
RePEc:edi:bdfgvfr (more details at EDIRC)
Research output
Jump to: Working papers Articles ChaptersWorking papers
- Wenxin Du & Alexander Tepper & Adrien Verdelhan, 2017. "Deviations from Covered Interest Rate Parity," NBER Working Papers 23170, National Bureau of Economic Research, Inc.
- Hanno Lustig & Adrien Verdelhan, 2016. "Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?," NBER Working Papers 22023, National Bureau of Economic Research, Inc.
- Hanno Lustig & Andreas Stathopoulos & Adrien Verdelhan, 2013. "The Term Structure of Currency Carry Trade Risk Premia," NBER Working Papers 19623, National Bureau of Economic Research, Inc.
- Adrien Verdelhan, 2012. "The Share of Systematic Variation in Bilateral Exchange Rates," 2012 Meeting Papers 763, Society for Economic Dynamics.
- François Gourio & Michael Siemer & Adrien Verdelhan, 2011.
"International Risk Cycles,"
NBER Working Papers
17277, National Bureau of Economic Research, Inc.
- Gourio, François & Siemer, Michael & Verdelhan, Adrien, 2013. "International risk cycles," Journal of International Economics, Elsevier, vol. 89(2), pages 471-484.
- Adrien Verdelhan & Nicola Borri, 2010. "Sovereign Risk Premia," 2010 Meeting Papers 1122, Society for Economic Dynamics.
- Adrien Verdelhan & Francois Gourio, 2010. "International Disaster Risk, Business Cycles, and Exchange Rates," 2010 Meeting Papers 435, Society for Economic Dynamics.
- Hanno Lustig & Nikolai Roussanov & Adrien Verdelhan, 2010.
"Countercyclical Currency Risk Premia,"
NBER Working Papers
16427, National Bureau of Economic Research, Inc.
- Lustig, Hanno & Roussanov, Nikolai & Verdelhan, Adrien, 2014. "Countercyclical currency risk premia," Journal of Financial Economics, Elsevier, vol. 111(3), pages 527-553.
- Emmanuel Farhi & Samuel Paul Fraiberger & Xavier Gabaix & Romain Ranciere & Adrien Verdelhan, 2009.
"Crash Risk in Currency Markets,"
NBER Working Papers
15062, National Bureau of Economic Research, Inc.
- Farhi, Emmanuel & Fraiberger, Samuel P. & Gabaix, Xavier & Rancière, Romain & Verdelhan, Adrien, 2009. "Crash Risk in Currency Markets," CEPR Discussion Papers 7322, C.E.P.R. Discussion Papers.
- Xavier Gabaix & Samuel Fraiberg & Romain Ranciere & Adrien Verdehlha & Emmanuel Farhi, 2010. "Crash Risk in Currency Market," 2010 Meeting Papers 640, Society for Economic Dynamics.
- Emmanuel Farhi & Samuel Fraiberger & Xavier Gabaix & Romain Ranciere & Adrien Verdelhan, 2015. "Crash Risk in Currency Markets," Working Paper 20948, Harvard University OpenScholar.
- Hanno Lustig & Adrien Verdelhan, 2008.
"The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: A Reply,"
NBER Working Papers
13812, National Bureau of Economic Research, Inc.
- Hanno Lustig & Adrien Verdelhan, 2011. "The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: Reply," American Economic Review, American Economic Association, vol. 101(7), pages 3477-3500, December.
- Hanno Lustig & Nikolai Roussanov & Adrien Verdelhan, 2008.
"Common Risk Factors in Currency Markets,"
NBER Working Papers
14082, National Bureau of Economic Research, Inc.
- Hanno Lustig & Nikolai Roussanov & Adrien Verdelhan, 2011. "Common Risk Factors in Currency Markets," Review of Financial Studies, Society for Financial Studies, vol. 24(11), pages 3731-3777.
- Nick Roussanov & Adrien Verdelhan & Hanno Lustig, 2008. "Common Risk Factors in Currency Markets," 2008 Meeting Papers 711, Society for Economic Dynamics.
- Hanno Lustig & Stijn Van Nieuwerburgh & Adrien Verdelhan, 2008.
"The Wealth-Consumption Ratio,"
NBER Working Papers
13896, National Bureau of Economic Research, Inc.
- Hanno Lustig & Stijn Van Nieuwerburgh & Adrien Verdelhan, 2013. "The Wealth-Consumption Ratio," Review of Asset Pricing Studies, Oxford University Press, vol. 3(1), pages 38-94.
- Lustig, Hanno & van Nieuwerburgh, Stijn & Verdelhan, Adrien, 2012. "The Wealth-Consumption Ratio," CEPR Discussion Papers 9022, C.E.P.R. Discussion Papers.
- George J. Jiang & Ingrid Lo & Adrien Verdelhan, 2008. "Information Shocks, Jumps, and Price Discovery -- Evidence from the U.S. Treasury Market," Staff Working Papers 08-22, Bank of Canada.
- Hanno Lustig & Stijn Van Nieuwerburg & Adrien Verdelhan, 2007.
"The Wealth-Consumption Ratio: A Litmus Test for Consumption-based Asset Pricing Models¤,"
Boston University - Department of Economics - Working Papers Series
WP2007-030, Boston University - Department of Economics.
- Hanno Lustig, "undated". "The Wealth-Consumption Ratio: A Litmus Test for Consumption-based Asset Pricing Models," UCLA Economics Online Papers 420, UCLA Department of Economics.
- Stijn Van Nieuwerburgh & Hanno Lustig, 2007. "The Wealth-Consumption Ratio: A Litmus Test for Consumption-Based Asset Pricing Models," 2007 Meeting Papers 398, Society for Economic Dynamics.
- Hanno Lustig & Adrien Verdelhan, 2005.
"Investing in Foreign Currency is like Betting on your Intertemporal Marginal Rate of Substitution,"
Boston University - Department of Economics - Working Papers Series
WP2005-040, Boston University - Department of Economics.
- Hanno Lustig & Adrien Verdelhan, 2006. "Investing in Foreign Currency is like Betting on your Intertemporal Marginal Rate of Substitution," Journal of the European Economic Association, MIT Press, vol. 4(2-3), pages 644-655, 04-05.
- Adrien Verdelhan & Hanno Lustig, 2005.
"The Cross-Section Of Foreign Currency Risk Premia And Consumption Growth Risk,"
Boston University - Department of Economics - Working Papers Series
WP2005-019, Boston University - Department of Economics.
- Hanno Lustig & Adrien Verdelhan, 2007. "The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk," American Economic Review, American Economic Association, vol. 97(1), pages 89-117, March.
- Lustig, H. & Verdelhan, A., 2006. "The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk," Working papers 155, Banque de France.
- Hanno Lustig & Adrien Verdelhan, 2006. "The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk," Boston University - Department of Economics - Working Papers Series WP2006-045, Boston University - Department of Economics.
- Hanno Lustig & Adrien Verdelhan, 2005. "The Cross-Section of Currency Risk Premia and US Consumption Growth Risk," NBER Working Papers 11104, National Bureau of Economic Research, Inc.
- Adrien Verdelhan, 2005.
"A Habit-Based Explanation of the Exchange Rate Risk Premium,"
Boston University - Department of Economics - Working Papers Series
WP2005-032, Boston University - Department of Economics.
- Adrien Verdelhan, 2010. "A Habit-Based Explanation of the Exchange Rate Risk Premium," Journal of Finance, American Finance Association, vol. 65(1), pages 123-146, February.
- Adrien Verdelhan, 2006. "A Habit-Based Explanation of the Exchange Rate Risk Premium," Boston University - Department of Economics - Working Papers Series WP2006-047, Boston University - Department of Economics.
- Adrien Verdelhan, 2006. "A Habit-Based Explanation of the Exchange Rate Risk Premium," Computing in Economics and Finance 2006 217, Society for Computational Economics.
- Adrien Verdelhan, 2006. "A Habit-Based Explanation of the Exchange Rate Risk Premium," 2006 Meeting Papers 872, Society for Economic Dynamics.
- Hanno Lustig & Adrien Verdelhan, 2004. "The Cross-Section of Foreign Currency Risk Premia and US Consumption Growth Risk," 2004 Meeting Papers 136c, Society for Economic Dynamics.
Articles
- Gourio, François & Siemer, Michael & Verdelhan, Adrien, 2013.
"International risk cycles,"
Journal of International Economics,
Elsevier, vol. 89(2), pages 471-484.
- François Gourio & Michael Siemer & Adrien Verdelhan, 2011. "International Risk Cycles," NBER Working Papers 17277, National Bureau of Economic Research, Inc.
- Lustig, Hanno & Verdelhan, Adrien, 2012. "Business cycle variation in the risk-return trade-off," Journal of Monetary Economics, Elsevier, vol. 59(S), pages 35-49.
- Hanno Lustig & Nikolai Roussanov & Adrien Verdelhan, 2011.
"Common Risk Factors in Currency Markets,"
Review of Financial Studies,
Society for Financial Studies, vol. 24(11), pages 3731-3777.
- Hanno Lustig & Nikolai Roussanov & Adrien Verdelhan, 2008. "Common Risk Factors in Currency Markets," NBER Working Papers 14082, National Bureau of Economic Research, Inc.
- Nick Roussanov & Adrien Verdelhan & Hanno Lustig, 2008. "Common Risk Factors in Currency Markets," 2008 Meeting Papers 711, Society for Economic Dynamics.
- Hanno Lustig & Adrien Verdelhan, 2011.
"The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: Reply,"
American Economic Review,
American Economic Association, vol. 101(7), pages 3477-3500, December.
- Hanno Lustig & Adrien Verdelhan, 2008. "The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: A Reply," NBER Working Papers 13812, National Bureau of Economic Research, Inc.
- Jiang, George J. & Lo, Ingrid & Verdelhan, Adrien, 2011. "Information Shocks, Liquidity Shocks, Jumps, and Price Discovery: Evidence from the U.S. Treasury Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 46(02), pages 527-551, April.
- Ralph S. J. Koijen & Hanno Lustig & Stijn Van Nieuwerburgh & Adrien Verdelhan, 2010. "Long Run Risk, the Wealth-Consumption Ratio, and the Temporal Pricing of Risk," American Economic Review, American Economic Association, vol. 100(2), pages 552-556, May.
- Adrien Verdelhan, 2010.
"A Habit-Based Explanation of the Exchange Rate Risk Premium,"
Journal of Finance,
American Finance Association, vol. 65(1), pages 123-146, February.
- Adrien Verdelhan, 2006. "A Habit-Based Explanation of the Exchange Rate Risk Premium," Boston University - Department of Economics - Working Papers Series WP2006-047, Boston University - Department of Economics.
- Adrien Verdelhan, 2005. "A Habit-Based Explanation of the Exchange Rate Risk Premium," Boston University - Department of Economics - Working Papers Series WP2005-032, Boston University - Department of Economics.
- Adrien Verdelhan, 2006. "A Habit-Based Explanation of the Exchange Rate Risk Premium," Computing in Economics and Finance 2006 217, Society for Computational Economics.
- Adrien Verdelhan, 2006. "A Habit-Based Explanation of the Exchange Rate Risk Premium," 2006 Meeting Papers 872, Society for Economic Dynamics.
- Hanno Lustig & Adrien Verdelhan, 2007.
"The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk,"
American Economic Review,
American Economic Association, vol. 97(1), pages 89-117, March.
- Adrien Verdelhan & Hanno Lustig, 2005. "The Cross-Section Of Foreign Currency Risk Premia And Consumption Growth Risk," Boston University - Department of Economics - Working Papers Series WP2005-019, Boston University - Department of Economics.
- Lustig, H. & Verdelhan, A., 2006. "The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk," Working papers 155, Banque de France.
- Hanno Lustig & Adrien Verdelhan, 2006. "The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk," Boston University - Department of Economics - Working Papers Series WP2006-045, Boston University - Department of Economics.
- Hanno Lustig & Adrien Verdelhan, 2006.
"Investing in Foreign Currency is like Betting on your Intertemporal Marginal Rate of Substitution,"
Journal of the European Economic Association,
MIT Press, vol. 4(2-3), pages 644-655, 04-05.
- Hanno Lustig & Adrien Verdelhan, 2005. "Investing in Foreign Currency is like Betting on your Intertemporal Marginal Rate of Substitution," Boston University - Department of Economics - Working Papers Series WP2005-040, Boston University - Department of Economics.
Chapters
- Hanno Lustig & Adrien Verdelhan, 2009. "Comment on "Carry Trades and Currency Crashes"," NBER Chapters,in: NBER Macroeconomics Annual 2008, Volume 23, pages 361-384 National Bureau of Economic Research, Inc.
More information
Research fields, statistics, top rankings, if available.Statistics
Access and download statistics for all items
Rankings
This author is among the top 5% authors according to these criteria:- Number of Citations, Discounted by Citation Age
- Number of Citations, Weighted by Simple Impact Factor
- Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
- Number of Citations, Weighted by Recursive Impact Factor
- Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
- Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
- Number of Citations, Weighted by Number of Authors and Simple Impact Factors
- Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
- Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
- Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
- Wu-Index
Co-authorship network on CollEc
NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 20 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-IFN: International Finance (9) 2004-08-09 2006-03-18 2006-07-28 2007-01-13 2008-07-14 2009-06-17 2009-07-03 2013-06-09 2016-03-29. Author is listed
- NEP-MAC: Macroeconomics (6) 2006-03-18 2006-03-18 2008-03-25 2009-06-17 2011-08-15 2012-07-14. Author is listed
- NEP-FIN: Finance (5) 2004-08-02 2005-02-13 2006-03-18 2006-03-18 2006-07-28. Author is listed
- NEP-UPT: Utility Models & Prospect Theory (4) 2007-01-13 2009-06-17 2009-07-03 2016-03-29
- NEP-FMK: Financial Markets (3) 2006-03-18 2006-07-28 2008-08-06
- NEP-RMG: Risk Management (3) 2008-07-14 2009-06-17 2009-07-03
- NEP-OPM: Open Economy Macroeconomics (2) 2011-08-15 2017-02-26
- NEP-BEC: Business Economics (1) 2007-08-14
- NEP-CBA: Central Banking (1) 2011-08-15
- NEP-DEV: Development (1) 2007-08-14
- NEP-DGE: Dynamic General Equilibrium (1) 2011-08-15
- NEP-HIS: Business, Economic & Financial History (1) 2007-08-14
- NEP-KNM: Knowledge Management & Knowledge Economy (1) 2007-08-14
- NEP-MON: Monetary Economics (1) 2013-06-09
- NEP-MST: Market Microstructure (1) 2008-08-06
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