EconPapers    
Economics at your fingertips  
 

Details about Adrien Verdelhan

E-mail:
Homepage:http://web.mit.edu/adrienv/www/
Postal address:MIT Sloan School of Management Department of Finance 77 Massachusetts Avenue, E62-621 Cambridge, MA 02139-4307
Workplace:Sloan School of Management, Massachusetts Institute of Technology (MIT), (more information at EDIRC)
National Bureau of Economic Research (NBER), (more information at EDIRC)
Banque de France (Bank of France), (more information at EDIRC)

Access statistics for papers by Adrien Verdelhan.

Last updated 2019-02-12. Update your information in the RePEc Author Service.

Short-id: pve80


Jump to Journal Articles Chapters

Working Papers

2017

  1. Deviations from Covered Interest Rate Parity
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (14)
    See also Journal Article in Journal of Finance (2018)
  2. Nominal Exchange Rate Stationarity and Long-Term Bond Returns
    2017 Meeting Papers, Society for Economic Dynamics Downloads
    Also in Research Papers, Stanford University, Graduate School of Business (2016) Downloads View citations (3)
  3. The Term Structure of Currency Carry Trade Risk Premia
    Research Papers, Stanford University, Graduate School of Business Downloads
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2013) Downloads View citations (6)
    2014 Meeting Papers, Society for Economic Dynamics (2014) Downloads View citations (5)

2016

  1. Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?
    2016 Meeting Papers, Society for Economic Dynamics Downloads View citations (5)
    Also in Research Papers, Stanford University, Graduate School of Business (2016) Downloads View citations (5)
    NBER Working Papers, National Bureau of Economic Research, Inc (2016) Downloads View citations (5)

2015

  1. Crash Risk in Currency Markets
    Working Paper, Harvard University OpenScholar Downloads View citations (19)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2009) Downloads View citations (62)
    NBER Working Papers, National Bureau of Economic Research, Inc (2009) Downloads View citations (28)
  2. Uncertainty and International Capital Flows
    2015 Meeting Papers, Society for Economic Dynamics Downloads View citations (13)

2012

  1. The Share of Systematic Variation in Bilateral Exchange Rates
    2012 Meeting Papers, Society for Economic Dynamics Downloads View citations (4)
    See also Journal Article in Journal of Finance (2018)
  2. The Wealth-Consumption Ratio
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (1)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2008) Downloads View citations (21)

    See also Journal Article in Review of Asset Pricing Studies (2013)

2011

  1. International Risk Cycles
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (10)
    See also Journal Article in Journal of International Economics (2013)

2010

  1. Countercyclical Currency Risk Premia
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (14)
    See also Journal Article in Journal of Financial Economics (2014)
  2. International Disaster Risk, Business Cycles, and Exchange Rates
    2010 Meeting Papers, Society for Economic Dynamics Downloads
  3. Sovereign Risk Premia
    2010 Meeting Papers, Society for Economic Dynamics Downloads View citations (46)

2008

  1. Common Risk Factors in Currency Markets
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (25)
    Also in 2008 Meeting Papers, Society for Economic Dynamics (2008) Downloads View citations (7)

    See also Journal Article in Review of Financial Studies (2011)
  2. Information Shocks, Jumps, and Price Discovery -- Evidence from the U.S. Treasury Market
    Staff Working Papers, Bank of Canada Downloads View citations (2)
  3. The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: A Reply
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)
    See also Journal Article in American Economic Review (2011)

2007

  1. 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 (16)

2006

  1. A Habit-Based Explanation of the Exchange Rate Risk Premium
    Computing in Economics and Finance 2006, Society for Computational Economics Downloads View citations (50)
    Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2006) View citations (4)
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2005) View citations (4)
    2006 Meeting Papers, Society for Economic Dynamics (2006) Downloads View citations (4)

    See also Journal Article in Journal of Finance (2010)
  2. The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk
    Working papers, Banque de France Downloads View citations (27)
    Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2005) View citations (6)
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2006) View citations (1)
    2004 Meeting Papers, Society for Economic Dynamics (2004) Downloads View citations (24)

    See also Journal Article in American Economic Review (2007)

2005

  1. 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)
  2. The Cross-Section of Currency Risk Premia and US Consumption Growth Risk
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (13)

Journal Articles

2018

  1. Deviations from Covered Interest Rate Parity
    Journal of Finance, 2018, 73, (3), 915-957 Downloads View citations (23)
    See also Working Paper (2017)
  2. The Share of Systematic Variation in Bilateral Exchange Rates
    Journal of Finance, 2018, 73, (1), 375-418 Downloads View citations (9)
    See also Working Paper (2012)

2014

  1. Countercyclical currency risk premia
    Journal of Financial Economics, 2014, 111, (3), 527-553 Downloads View citations (49)
    See also Working Paper (2010)

2013

  1. International risk cycles
    Journal of International Economics, 2013, 89, (2), 471-484 Downloads View citations (82)
    See also Working Paper (2011)
  2. The Wealth-Consumption Ratio
    Review of Asset Pricing Studies, 2013, 3, (1), 38-94 Downloads View citations (12)
    See also Working Paper (2012)

2012

  1. Business cycle variation in the risk-return trade-off
    Journal of Monetary Economics, 2012, 59, (S), S35-S49 Downloads View citations (23)

2011

  1. Common Risk Factors in Currency Markets
    Review of Financial Studies, 2011, 24, (11), 3731-3777 Downloads View citations (130)
    See also Working Paper (2008)
  2. Information Shocks, Liquidity Shocks, Jumps, and Price Discovery: Evidence from the U.S. Treasury Market
    Journal of Financial and Quantitative Analysis, 2011, 46, (02), 527-551 Downloads View citations (56)
  3. The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: Reply
    American Economic Review, 2011, 101, (7), 3477-3500 Downloads View citations (17)
    See also Working Paper (2008)

2010

  1. A Habit‐Based Explanation of the Exchange Rate Risk Premium
    Journal of Finance, 2010, 65, (1), 123-146 Downloads View citations (143)
    See also Working Paper (2006)
  2. Long Run Risk, the Wealth-Consumption Ratio, and the Temporal Pricing of Risk
    American Economic Review, 2010, 100, (2), 552-56 Downloads View citations (11)

2007

  1. The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk
    American Economic Review, 2007, 97, (1), 89-117 Downloads View citations (213)
    See also Working Paper (2006)

2006

  1. 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 Downloads View citations (10)
    See also Working Paper (2005)

2001

  1. Le policy-mix de la zone euro. Une évaluation de l'impact des chocs monétaires et budgétaires
    Économie et Prévision, 2001, 148, (2), 23-40 Downloads View citations (2)
    Also in Economie & Prévision, 2001, 148, (2), 23-40 (2001) Downloads

Chapters

2009

  1. Comment on "Carry Trades and Currency Crashes"
    A chapter in NBER Macroeconomics Annual 2008, Volume 23, 2009, pp 361-384 Downloads View citations (1)
 
Page updated 2019-10-15