Details about Adrien Verdelhan
Access statistics for papers by Adrien Verdelhan.
Last updated 2019-02-12. Update your information in the RePEc Author Service.
Short-id: pve80
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Working Papers
2017
- Deviations from Covered Interest Rate Parity
NBER Working Papers, National Bureau of Economic Research, Inc View citations (49)
See also Journal Article Deviations from Covered Interest Rate Parity, Journal of Finance, American Finance Association (2018) View citations (283) (2018)
- Nominal Exchange Rate Stationarity and Long-Term Bond Returns
2017 Meeting Papers, Society for Economic Dynamics View citations (1)
Also in Research Papers, Stanford University, Graduate School of Business (2016) View citations (6)
- The Term Structure of Currency Carry Trade Risk Premia
Research Papers, Stanford University, Graduate School of Business View citations (2)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2013) View citations (9) 2014 Meeting Papers, Society for Economic Dynamics (2014) View citations (5)
2016
- Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?
2016 Meeting Papers, Society for Economic Dynamics View citations (9)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2016) View citations (9) Research Papers, Stanford University, Graduate School of Business (2016) View citations (9)
2015
- Crash Risk in Currency Markets
Working Paper, Harvard University OpenScholar View citations (51)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2009) View citations (74) CEPR Discussion Papers, C.E.P.R. Discussion Papers (2009) View citations (87)
- Uncertainty and International Capital Flows
2015 Meeting Papers, Society for Economic Dynamics View citations (37)
2012
- The Share of Systematic Variation in Bilateral Exchange Rates
2012 Meeting Papers, Society for Economic Dynamics View citations (8)
See also Journal Article The Share of Systematic Variation in Bilateral Exchange Rates, Journal of Finance, American Finance Association (2018) View citations (83) (2018)
- The Wealth-Consumption Ratio
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (2)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2008) View citations (25)
See also Journal Article The Wealth-Consumption Ratio, The Review of Asset Pricing Studies, Society for Financial Studies (2013) View citations (35) (2013)
2011
- International Risk Cycles
NBER Working Papers, National Bureau of Economic Research, Inc View citations (12)
See also Journal Article International risk cycles, Journal of International Economics, Elsevier (2013) View citations (119) (2013)
2010
- Countercyclical Currency Risk Premia
NBER Working Papers, National Bureau of Economic Research, Inc View citations (27)
See also Journal Article Countercyclical currency risk premia, Journal of Financial Economics, Elsevier (2014) View citations (149) (2014)
- International Disaster Risk, Business Cycles, and Exchange Rates
2010 Meeting Papers, Society for Economic Dynamics View citations (1)
- Sovereign Risk Premia
2010 Meeting Papers, Society for Economic Dynamics View citations (67)
2008
- Common Risk Factors in Currency Markets
2008 Meeting Papers, Society for Economic Dynamics View citations (31)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2008) View citations (35)
See also Journal Article Common Risk Factors in Currency Markets, The Review of Financial Studies, Society for Financial Studies (2011) View citations (512) (2011)
- Information Shocks, Jumps, and Price Discovery -- Evidence from the U.S. Treasury Market
Staff Working Papers, Bank of Canada View citations (3)
- The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: A Reply
NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
See also Journal Article The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: Reply, American Economic Review, American Economic Association (2011) View citations (31) (2011)
2007
- 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 (18)
2006
- A Habit-Based Explanation of the Exchange Rate Risk Premium
Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (12)
Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2005) View citations (6) 2006 Meeting Papers, Society for Economic Dynamics (2006) View citations (12) Computing in Economics and Finance 2006, Society for Computational Economics (2006) View citations (51)
See also Journal Article A Habit‐Based Explanation of the Exchange Rate Risk Premium, Journal of Finance, American Finance Association (2010) View citations (205) (2010)
- The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk
Working papers, Banque de France View citations (27)
Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2006) View citations (3) Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2005) View citations (12) 2004 Meeting Papers, Society for Economic Dynamics (2004) View citations (24)
See also Journal Article The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk, American Economic Review, American Economic Association (2007) View citations (428) (2007)
2005
- 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 Investing in Foreign Currency is like Betting on your Intertemporal Marginal Rate of Substitution, Journal of the European Economic Association, MIT Press (2006) View citations (19) (2006)
- The Cross-Section of Currency Risk Premia and US Consumption Growth Risk
NBER Working Papers, National Bureau of Economic Research, Inc View citations (19)
Journal Articles
2018
- Deviations from Covered Interest Rate Parity
Journal of Finance, 2018, 73, (3), 915-957 View citations (283)
See also Working Paper Deviations from Covered Interest Rate Parity, NBER Working Papers (2017) View citations (49) (2017)
- The Share of Systematic Variation in Bilateral Exchange Rates
Journal of Finance, 2018, 73, (1), 375-418 View citations (83)
See also Working Paper The Share of Systematic Variation in Bilateral Exchange Rates, 2012 Meeting Papers (2012) View citations (8) (2012)
2014
- Countercyclical currency risk premia
Journal of Financial Economics, 2014, 111, (3), 527-553 View citations (149)
See also Working Paper Countercyclical Currency Risk Premia, NBER Working Papers (2010) View citations (27) (2010)
2013
- International risk cycles
Journal of International Economics, 2013, 89, (2), 471-484 View citations (119)
See also Working Paper International Risk Cycles, NBER Working Papers (2011) View citations (12) (2011)
- The Wealth-Consumption Ratio
The Review of Asset Pricing Studies, 2013, 3, (1), 38-94 View citations (35)
See also Working Paper The Wealth-Consumption Ratio, CEPR Discussion Papers (2012) View citations (2) (2012)
2012
- Business cycle variation in the risk-return trade-off
Journal of Monetary Economics, 2012, 59, (S), S35-S49 View citations (41)
2011
- Common Risk Factors in Currency Markets
The Review of Financial Studies, 2011, 24, (11), 3731-3777 View citations (512)
See also Working Paper Common Risk Factors in Currency Markets, 2008 Meeting Papers (2008) View citations (31) (2008)
- Information Shocks, Liquidity Shocks, Jumps, and Price Discovery: Evidence from the U.S. Treasury Market
Journal of Financial and Quantitative Analysis, 2011, 46, (2), 527-551 View citations (105)
- The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: Reply
American Economic Review, 2011, 101, (7), 3477-3500 View citations (31)
See also Working Paper The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: A Reply, NBER Working Papers (2008) View citations (3) (2008)
2010
- A Habit‐Based Explanation of the Exchange Rate Risk Premium
Journal of Finance, 2010, 65, (1), 123-146 View citations (205)
See also Working Paper A Habit-Based Explanation of the Exchange Rate Risk Premium, Boston University - Department of Economics - Working Papers Series (2006) View citations (12) (2006)
- Long Run Risk, the Wealth-Consumption Ratio, and the Temporal Pricing of Risk
American Economic Review, 2010, 100, (2), 552-56 View citations (17)
2007
- The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk
American Economic Review, 2007, 97, (1), 89-117 View citations (428)
See also Working Paper The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk, Working papers (2006) View citations (27) (2006)
2006
- 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 View citations (19)
See also Working Paper Investing in Foreign Currency is like Betting on your Intertemporal Marginal Rate of Substitution, Boston University - Department of Economics - Working Papers Series (2005) (2005)
2001
- Le policy-mix de la zone euro. Une évaluation de l'impact des chocs monétaires et budgétaires
Economie & Prévision, 2001, 148, (2), 23-40 View citations (2)
Also in Économie et Prévision, 2001, 148, (2), 23-40 (2001) View citations (4)
Chapters
2009
- Comment on "Carry Trades and Currency Crashes"
A chapter in NBER Macroeconomics Annual 2008, Volume 23, 2009, pp 361-384 View citations (1)
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