The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk
用总消费增长风险解释为何低利率货币未如利率差那样升值、高利率货币未如利率差那样贬值，并说明低利率货币为国内投资者对冲了消费增长风险。
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. Domestic investors earn negative excess returns on low interest rate currency portfolios and positive excess returns on high interest rate currency portfolios. Because high interest rate currencies depreciate on average when domestic consumption growth is low and low interest rate currencies appreciate under the same conditions, low interest rate currencies provide domestic investors with a hedge against domestic aggregate consumption growth risk.