The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk: Comment (AER 2011)

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Contents

Article

Authors Title Journal Year Edition Pages JEL Codes Keywords
Craig Burnside The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk: Comment AER 2011 7 3456-76 C58, E21, F31, G11, G12 -

Article information

Program code Data Readme Method(s) & estimation Data type Data used Origin of data used Software used (Version)
1 - accessible on journal website 0 - not available online 1 - accessible on journal website - - not all data provided, data of Lustig and Verdelhan’s 2007 AER article, measure of the market return same as the one used in Hanno Lustig and Stijn Van Nieuwerburgh's 2008 Review of Financial Studies article “The Returns on Human Wealth: Good News on Wall Street is Bad News on Main Street”, US Bureau of Economic Analysis (BEA), Fama-­French Data (raw version available at http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html ), Datastream, on foreign exchange rates, NBER recession dates - MATLAB

This article is a replication of

Authors Title Journal Year Edition Pages JEL Codes Keywords Replication type Replication result [refer to replication type 1 and 2] Raw data Call into question Authors statement
Hanno Lustig, Adrien Verdelhan The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk AER 2007 1 89-17 E21, E43, F31, G11 - - - - - -

References

DOI: 10.1257/aer.101.7.3456 IDEAS: a/aea/aecrev/v101y2011i7p3456-76.html EconPapers: RePEc:aea:aecrev:v:101:y:2011:i:7:p:3456-76


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