The cross section of foreign currency risk premia and consumption growth risk: Reply
The consumption growth beta of an investment strategy that goes long in high interest rate currencies and short in low interest rate currencies is large and significant. Consumption risk price differs significantly from zero, even after accounting for the sampling uncertainty introduced by the estim...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Article |
| Language: | English |
| Published: |
American Economic Association,
2013-01-09T19:20:41Z.
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| Subjects: | |
| Online Access: | Get fulltext |