The cross-section of currency risk premia and US consumption growth risk
"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 nomina...
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| Hauptverfasser: | , |
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| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cambridge, Mass.
National Bureau of Economic Research
2005
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| Schriftenreihe: | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series
11104 |
| Schlagworte: | |
| Online-Zugang: | kostenfrei |
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