Details about Adrien Verdelhan

Access statistics for papers by Adrien Verdelhan.

Last updated 2009-09-15. Update your information in the RePEc Author Service.

Short-id: pve80

Working Papers

2009

1. Crash Risk in Currency Markets
   NBER Working Papers, National Bureau of Economic Research, Inc
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2009)

2008

2. Common Risk Factors in Currency Markets
   NBER Working Papers, National Bureau of Economic Research, Inc View citations
3. Information Shocks, Jumps, and Price Discovery -- Evidence from the U.S. Treasury Market
   Working Papers, Bank of Canada
4. Note on The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk
   NBER Working Papers, National Bureau of Economic Research, Inc View citations
5. The Wealth-Consumption Ratio
   NBER Working Papers, National Bureau of Economic Research, Inc View citations

2007

6. The Wealth-Consumption Ratio: A Litmus Test for Consumption-based Asset Pricing Models¤
   Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations

2006

7. A Habit-Based Explanation of the Exchange Rate Risk Premium
   Computing in Economics and Finance 2006, Society for Computational Economics View citations
   Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2006)
   Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2005) View citations
   2006 Meeting Papers, Society for Economic Dynamics (2006) View citations
8. The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk
   Documents de Travail, Banque de France
   Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2006)
   Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2005) View citations
   See also Journal Article in American Economic Review (2007)

2005

9. Investing in Foreign Currency is like Betting on your Intertemporal Marginal Rate of Substitution
   Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics
   See also Journal Article in Journal of the European Economic Association (2006)
10. The Cross-Section of Currency Risk Premia and US Consumption Growth Risk
    NBER Working Papers, National Bureau of Economic Research, Inc View citations

2004

11. The Cross-Section of Foreign Currency Risk Premia and US Consumption Growth Risk
    2004 Meeting Papers, Society for Economic Dynamics View citations

Journal Articles

2007

1. The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk
   American Economic Review, 2007, 97, (1), 89-117 View citations
   See also Working Paper (2006)

2006

2. Investing in Foreign Currency is like Betting on your Intertemporal Marginal Rate of Substitution
   Journal of the European Economic Association, 2006, 4, (2-3), 644-655
   See also Working Paper (2005)

Chapters

2008

1. Comment on "Carry Trades and Currency Crashes"
   A chapter in NBER Macroeconomics Annual 2008, 2008