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

Working Papers

2017

1. 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 (287) (2018)
2. 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)
3. 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

4. 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 (10)

2015

5. 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)
6. Uncertainty and International Capital Flows
   2015 Meeting Papers, Society for Economic Dynamics View citations (37)

2012

7. 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)
8. 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

9. 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

10. 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)
11. International Disaster Risk, Business Cycles, and Exchange Rates
    2010 Meeting Papers, Society for Economic Dynamics View citations (1)
12. Sovereign Risk Premia
    2010 Meeting Papers, Society for Economic Dynamics View citations (67)

2008

13. 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 (516) (2011)
14. Information Shocks, Jumps, and Price Discovery -- Evidence from the U.S. Treasury Market
    Staff Working Papers, Bank of Canada View citations (3)
15. 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

16. 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

17. A Habit-Based Explanation of the Exchange Rate Risk Premium
    Computing in Economics and Finance 2006, Society for Computational Economics View citations (51)
    Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2006) View citations (12)
    2006 Meeting Papers, Society for Economic Dynamics (2006) View citations (12)
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2005) View citations (6)
    See also Journal Article A Habit‐Based Explanation of the Exchange Rate Risk Premium, Journal of Finance, American Finance Association (2010) View citations (207) (2010)
18. The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (3)
    Also in 2004 Meeting Papers, Society for Economic Dynamics (2004) View citations (24)
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2005) View citations (12)
    Working papers, Banque de France (2006) View citations (27)
    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

19. 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)
20. 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

1. Deviations from Covered Interest Rate Parity
   Journal of Finance, 2018, 73, (3), 915-957 View citations (287)
   See also Working Paper Deviations from Covered Interest Rate Parity, NBER Working Papers (2017) View citations (49) (2017)
2. 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

3. 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

4. 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)
5. 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

6. Business cycle variation in the risk-return trade-off
   Journal of Monetary Economics, 2012, 59, (S), S35-S49 View citations (42)

2011

7. Common Risk Factors in Currency Markets
   The Review of Financial Studies, 2011, 24, (11), 3731-3777 View citations (516)
   See also Working Paper Common Risk Factors in Currency Markets, 2008 Meeting Papers (2008) View citations (31) (2008)
8. 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)
9. 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

10. A Habit‐Based Explanation of the Exchange Rate Risk Premium
    Journal of Finance, 2010, 65, (1), 123-146 View citations (207)
    See also Working Paper A Habit-Based Explanation of the Exchange Rate Risk Premium, Computing in Economics and Finance 2006 (2006) View citations (51) (2006)
11. 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

12. 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, Boston University - Department of Economics - Working Papers Series (2006) View citations (3) (2006)

2006

13. 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

14. 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 View citations (4)
    Also in Economie & Prévision, 2001, 148, (2), 23-40 (2001) View citations (2)

Chapters

2009

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