The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: A Reply
收藏NBER2008-02-01 更新2025-01-04 收录
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https://www.nber.org/papers/w13812
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资源简介：
The U.S. 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. The price of consumption risk is significantly different from zero, even after accounting for the sampling uncertainty
做多高息货币、做空低息货币的投资策略所对应的美国消费增长β系数，数值显著且较大。即便在考量抽样不确定性后，消费风险的定价仍显著异于零。
提供机构：
美国国家经济研究局
创建时间：
2008-02-01
