Investing in Foreign Currency is like Betting on Your Intertemporal Marginal Rate of Substitution
用一个简单模型解释为何高利率外币债券能带来正超额收益：投资外币相当于押注自己与外国人的跨期边际替代率之差，当外国人的IMRS更波动且与本国相关时，低利率外币债券反而提供对冲。
Investors earn positive excess returns on high interest rate foreign discount bonds, because these currencies appreciate on average. Lustig and Verdelhan (2005) show that investing in high interest rate foreign discount bonds exposes them to more aggregate consumption risk, while low interest rate foreign bonds provide a hedge. This paper provides a simple model that replicates these facts. Investing in foreign currency is like betting on the difference between your own intertemporal marginal rate of substitution (IMRS) and your neighbor's IMRS. These bets are very risky if your neighbor's IMRS is not correlated with yours, but they provide a hedge when his IMRS is highly correlated and more volatile. If the foreign neighbors that face low interest rates also have more volatile and correlated IMRS, that accounts for the spread in excess returns in the data.