Check nearby libraries
Buy this book
![Loading indicator](/images/ajax-loader-bar.gif)
"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. We sort foreign T-bills into portfolios based on the nominal interest rate differential with the US, and we test the Euler equation of a US investor who invests in these currency portfolios. US investors earn negative excess returns on low interest rate currency portfolios and positive excess returns on high interest rates currency portfolios. We find that low interest rate currencies provide US investors with a hedge against US aggregate consumption growth risk, because these currencies appreciate on average when US consumption growth is low, while high interest rate currencies depreciate when US consumption growth is low. As a result, the risk premia predicted by the Consumption-CAPM match the average excess returns on these currency portfolios"--National Bureau of Economic Research web site.
Check nearby libraries
Buy this book
![Loading indicator](/images/ajax-loader-bar.gif)
Showing 2 featured editions. View all 2 editions?
Edition | Availability |
---|---|
1
The cross-section of currency risk premia and US consumption growth risk
2005, National Bureau of Economic Research
in English
|
aaaa
Libraries near you:
WorldCat
|
2
The cross-section of currency risk premia and US consumption growth risk
2005, National Bureau of Economic Research
Electronic resource
in English
|
zzzz
|
Book Details
Edition Notes
"February 2005."
Includes bibliographical references (p. 37-39).
Also available in PDF from the NBER world wide web site (www.nber.org).
The Physical Object
ID Numbers
Work Description
"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. We sort foreign T-bills into portfolios based on the nominal interest rate differential with the US, and we test the Euler equation of a US investor who invests in these currency portfolios. US investors earn negative excess returns on low interest rate currency portfolios and positive excess returns on high interest rates currency portfolios. We find that low interest rate currencies provide US investors with a hedge against US aggregate consumption growth risk, because these currencies appreciate on average when US consumption growth is low, while high interest rate currencies depreciate when US consumption growth is low. As a result, the risk premia predicted by the Consumption-CAPM match the average excess returns on these currency portfolios"--National Bureau of Economic Research web site.
Community Reviews (0)
Feedback?December 13, 2020 | Edited by MARC Bot | import existing book |
November 28, 2012 | Edited by AnandBot | Fixed spam edits. |
November 23, 2012 | Edited by 62.109.5.238 | Edited without comment. |
December 5, 2010 | Edited by Open Library Bot | Added subjects from MARC records. |
December 10, 2009 | Created by WorkBot | add works page |