The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk: Reply
回应了关于外汇风险溢价与消费增长风险关系的讨论，发现做多高利率货币、做空低利率货币的策略的消费增长贝塔值大且显著，消费风险价格显著非零，且该策略的贝塔值在经济衰退和危机时期上升。
The 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. Consumption risk price differs significantly from zero, even after accounting for the sampling uncertainty introduced by the estimation of the consumption betas. The constant in the regression of average returns on consumption betas is not significant. Additionally, this investment strategy's consumption and market betas increase during recessions and times of crisis, when risk prices are high, implying that the unconditional betas understate its riskiness.