The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk: Comment
评论Lustig和Verdelhan（2007）的论文，指出其基准模型对应的随机贴现因子与所研究的回报几乎不相关，因此无法拒绝模型无法解释预期回报横截面变化的原假设，认为远期溢价谜题仍未解决。
Lustig and Verdelhan (2007) argue that the excess returns to borrowing US dollars and lending in foreign currency “compensate US investors for taking on more US consumption growth risk,” yet the stochastic discount factor corresponding to their benchmark model is approximately uncorrelated with the returns they study. Hence, one cannot reject the null hypothesis that their model explains none of the cross sectional variation of the expected returns. Given this finding, and other evidence, I argue that the forward premium puzzle remains a puzzle.