Adrien Verdelhan

Massachusetts Institute of Technology (MIT) - Sloan School of Management

100 Main Street

E62-416

Cambridge, MA 02142

United States

National Bureau of Economic Research (NBER)

Research Fellow

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

  • Massachusetts Institute of Technology (MIT) - Sloan School of Management

  • National Bureau of Economic Research (NBER)

SCHOLARLY PAPERS

20

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SSRN CITATIONS
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2,495

CROSSREF CITATIONS

273

Scholarly Papers (20)

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1.

Common Risk Factors in Currency Markets

Downloads 9,267 ( 1,270)
Citation 326

Common Risk Factors in Currency Markets

Review of Financial Studies ( 2011), 24(11), .
Number of pages: 74 Posted: 01 Jun 2008 Last Revised: 27 Aug 2012
Hanno N. Lustig, Nikolai L. Roussanov, Adrien Verdelhan and Adrien Verdelhan
Stanford Graduate School of Business, University of Pennsylvania - The Wharton School and National Bureau of Economic Research (NBER)Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 9,107 (1,305)
Citation 135

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Carry Trade, Currency Risk

Common Risk Factors in Currency Markets

NBER Working Paper No. w14082
Number of pages: 63 Posted: 14 Jul 2008 Last Revised: 25 Dec 2022
Hanno N. Lustig, Nikolai L. Roussanov, Adrien Verdelhan and Adrien Verdelhan
Stanford Graduate School of Business, University of Pennsylvania - The Wharton School and National Bureau of Economic Research (NBER)Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 160 (356,430)

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2.

Deviations from Covered Interest Rate Parity

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Citation 299

Deviations from Covered Interest Rate Parity

Number of pages: 84 Posted: 25 Apr 2016 Last Revised: 06 May 2017
Wenxin Du, Alexander Tepper, Adrien Verdelhan and Adrien Verdelhan
Harvard Business School, Federal Reserve Bank of New York and National Bureau of Economic Research (NBER)Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 4,108 (4,958)
Citation 27

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exchange rates, currency swaps, dollar funding

Deviations from Covered Interest Rate Parity

NBER Working Paper No. w23170
Number of pages: 84 Posted: 21 Feb 2017 Last Revised: 24 Apr 2022
Wenxin Du, Alexande Tepper, Adrien Verdelhan and Adrien Verdelhan
Harvard Business School, Columbia University - Graduate School of Architecture, Planning and Preservation and National Bureau of Economic Research (NBER)Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 180 (321,362)
Citation 276

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3.

Sovereign Risk Premia

Downloads 3,772 ( 5,815)
Citation 30

Sovereign Risk Premia

AFA 2010 Atlanta Meetings Paper
Number of pages: 52 Posted: 17 Feb 2009 Last Revised: 14 Sep 2011
Nicola Borri, Adrien Verdelhan and Adrien Verdelhan
LUISS University - Department of Economics and Finance and National Bureau of Economic Research (NBER)Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 3,571 (6,251)
Citation 21

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Sovereign debt, Asset pricing, Default risk

Sovereign Risk Premia

Paris December 2011 Finance Meeting EUROFIDAI - AFFI
Number of pages: 73 Posted: 13 Oct 2011
Adrien Verdelhan, Adrien Verdelhan and Nicola Borri
National Bureau of Economic Research (NBER)Massachusetts Institute of Technology (MIT) - Sloan School of Management and LUISS University - Department of Economics and Finance
Downloads 201 (290,464)
Citation 9

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4.

The Term Structure of Currency Carry Trade Risk Premia

Downloads 2,727 ( 9,788)
Citation 46

The Term Structure of Currency Carry Trade Risk Premia

Number of pages: 113 Posted: 16 Oct 2013 Last Revised: 03 Nov 2018
Hanno N. Lustig, Andreas Stathopoulos, Adrien Verdelhan and Adrien Verdelhan
Stanford Graduate School of Business, University of North Carolina (UNC) at Chapel Hill and National Bureau of Economic Research (NBER)Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 2,667 (9,962)
Citation 33

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exchange rate stationarity, carry trade, UIP, currency risk premia, bond risk premia

The Term Structure of Currency Carry Trade Risk Premia

NBER Working Paper No. w19623
Number of pages: 46 Posted: 09 Nov 2013 Last Revised: 13 Feb 2022
Hanno N. Lustig, Andreas Stathopoulos, Adrien Verdelhan and Adrien Verdelhan
Stanford Graduate School of Business, University of North Carolina (UNC) at Chapel Hill and National Bureau of Economic Research (NBER)Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 60 (695,967)

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5.

The Share of Systematic Variation in Bilateral Exchange Rates

Journal of Finance, Forthcoming
Number of pages: 54 Posted: 19 Sep 2011 Last Revised: 30 Oct 2015
Adrien Verdelhan and Adrien Verdelhan
National Bureau of Economic Research (NBER)Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 2,690 (9,998)
Citation 127

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exchange rates, forward premium puzzle, risk premium

6.

Crash Risk in Currency Markets

Downloads 2,555 (10,843)
Citation 9

Crash Risk in Currency Markets

NYU Working Paper No. FIN-09-007
Number of pages: 68 Posted: 07 May 2009 Last Revised: 13 Mar 2015
Emmanuel Farhi, Samuel P. Fraiberger, Xavier Gabaix, Romain G. Rancière, Adrien Verdelhan and Adrien Verdelhan
Harvard University - Department of Economics, Computer Science, Harvard University - Department of Economics, University of Southern California and National Bureau of Economic Research (NBER)Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 2,443 (11,421)
Citation 4

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Exchange Rates, Disaster Risk, Currency Options

Crash Risk in Currency Markets

NBER Working Paper No. w15062
Number of pages: 94 Posted: 08 Jun 2009 Last Revised: 27 Feb 2022
Emmanuel Farhi, Samuel P. Fraiberger, Xavier Gabaix, Romain G. Rancière, Adrien Verdelhan and Adrien Verdelhan
Harvard University - Department of Economics, Computer Science, Harvard University - Department of Economics, University of Southern California and National Bureau of Economic Research (NBER)Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 111 (477,141)
Citation 6

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Crash Risk in Currency Markets

CEPR Discussion Paper No. DP7322
Number of pages: 83 Posted: 15 Jul 2009
Emmanuel Farhi, Samuel P. Fraiberger, Xavier Gabaix, Romain G. Rancière, Adrien Verdelhan and Adrien Verdelhan
Harvard University - Department of Economics, Computer Science, Harvard University - Department of Economics, University of Southern California and National Bureau of Economic Research (NBER)Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1 (1,252,620)
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carry trade, currency crisis, currency options, disaster risk, exchange rate, financial crisis

7.

Countercyclical Currency Risk Premia

Downloads 2,155 (14,216)
Citation 152

Countercyclical Currency Risk Premia

Journal of Financial Economics (JFE), Forthcoming, AFA 2011 Denver Meetings Paper, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 58 Posted: 26 Jan 2010 Last Revised: 10 Sep 2020
Hanno N. Lustig, Nikolai L. Roussanov, Adrien Verdelhan and Adrien Verdelhan
Stanford Graduate School of Business, University of Pennsylvania - The Wharton School and National Bureau of Economic Research (NBER)Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 2,083 (14,697)
Citation 30

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Exchange Rates, Forecasting, Risk Premia

Countercyclical Currency Risk Premia

NBER Working Paper No. w16427
Number of pages: 78 Posted: 04 Oct 2010 Last Revised: 22 May 2022
Hanno N. Lustig, Nikolai L. Roussanov, Adrien Verdelhan and Adrien Verdelhan
Stanford Graduate School of Business, University of Pennsylvania - The Wharton School and National Bureau of Economic Research (NBER)Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 72 (632,198)
Citation 118

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8.

The International CAPM Redux

Saïd Business School WP 2014-11
Number of pages: 74 Posted: 09 Nov 2014 Last Revised: 18 Feb 2017
Francesca Brusa, Tarun Ramadorai, Adrien Verdelhan and Adrien Verdelhan
Temple University - Fox School of Business, Imperial College London and National Bureau of Economic Research (NBER)Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,702 (20,603)
Citation 17

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Equity, Exchange rates, Risk

9.

The Wealth-Consumption Ratio

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Citation 49

The Wealth-Consumption Ratio

Review of Asset Pricing Studies, Forthcoming, NYU Working Paper No. FIN-08-045, AFA 2008 New Orleans Meetings Paper , EFA 2007 Ljubljana Meetings Paper
Number of pages: 110 Posted: 09 Mar 2009 Last Revised: 31 Mar 2013
Hanno N. Lustig, Stijn Van Nieuwerburgh, Adrien Verdelhan and Adrien Verdelhan
Stanford Graduate School of Business, Columbia University Graduate School of Business and National Bureau of Economic Research (NBER)Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,494 (24,690)

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The Wealth-Consumption Ratio

NBER Working Paper No. w13896
Number of pages: 52 Posted: 21 Mar 2008 Last Revised: 22 Dec 2022
Hanno N. Lustig, Stijn Van Nieuwerburgh, Adrien Verdelhan and Adrien Verdelhan
Stanford Graduate School of Business, Columbia University Graduate School of Business and National Bureau of Economic Research (NBER)Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 45 (792,588)
Citation 40

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The Wealth-Consumption Ratio

CEPR Discussion Paper No. DP9022
Number of pages: 77 Posted: 28 Sep 2012
Hanno N. Lustig, Stijn Van Nieuwerburgh, Adrien Verdelhan and Adrien Verdelhan
Stanford Graduate School of Business, Columbia University Graduate School of Business and National Bureau of Economic Research (NBER)Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 6 (1,186,377)
Citation 8
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discount rate, equity risk premium, excess return, interest rate, risk premium, stock market, stock returns

10.

Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?

Downloads 1,145 (36,988)
Citation 38

Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?

American Economic Review, Forthcoming
Number of pages: 74 Posted: 13 May 2015 Last Revised: 17 Dec 2018
Hanno N. Lustig, Adrien Verdelhan and Adrien Verdelhan
Stanford Graduate School of Business and National Bureau of Economic Research (NBER)Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,102 (38,562)
Citation 7

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currency risk, exchange rates, market incompleteness

Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?

NBER Working Paper No. w22023
Number of pages: 65 Posted: 01 Mar 2016 Last Revised: 06 Mar 2022
Hanno N. Lustig, Adrien Verdelhan and Adrien Verdelhan
Stanford Graduate School of Business and National Bureau of Economic Research (NBER)Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 43 (807,582)
Citation 36

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11.

Uncertainty and International Capital Flows

Number of pages: 60 Posted: 05 Jul 2015 Last Revised: 09 Oct 2015
Francois Gourio, Michael Siemer, Adrien Verdelhan and Adrien Verdelhan
Federal Reserve Bank of Chicago, Board of Governors of the Federal Reserve System and National Bureau of Economic Research (NBER)Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 805 (60,565)
Citation 31

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international capital flows, political risk, expropriation, gross flows, volatility, uncertainty

12.

Common Factors, Order Flows, and Exchange Rate Dynamics

Number of pages: 24 Posted: 29 Jul 2015
Valère Fourel, Valère Fourel, Dagfinn Rime, Lucio Sarno, Maik Schmeling, Adrien Verdelhan and Adrien Verdelhan
Banque de FranceMassachusetts Institute of Technology (MIT) - Sloan School of Management, BI Norwegian Business School, University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and National Bureau of Economic Research (NBER)Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 732 (68,683)
Citation 1

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Exchange rates, risk premium, order flow

13.

International Risk Cycles

Number of pages: 49 Posted: 03 Sep 2010 Last Revised: 07 Nov 2014
Francois Gourio, Michael Siemer, Adrien Verdelhan and Adrien Verdelhan
Federal Reserve Bank of Chicago, Board of Governors of the Federal Reserve System and National Bureau of Economic Research (NBER)Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 611 (86,299)
Citation 19

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14.

Business Cycle Variation in the Risk-Return Trade-Off

Journal of Monetary Economics, Forthcoming
Number of pages: 35 Posted: 02 Sep 2010 Last Revised: 13 Nov 2012
Hanno N. Lustig, Adrien Verdelhan and Adrien Verdelhan
Stanford Graduate School of Business and National Bureau of Economic Research (NBER)Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 594 (89,490)
Citation 19

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Risk Premia, Sharpe Ratio

15.

A Habit-Based Explanation of the Exchange Rate Risk Premium

Journal of Finance, Forthcoming
Number of pages: 40 Posted: 03 Mar 2005 Last Revised: 26 Apr 2009
Adrien Verdelhan and Adrien Verdelhan
National Bureau of Economic Research (NBER)Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 517 (106,455)
Citation 76

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Exchange rate, time-varying risk premium, habits

16.

The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk

Downloads 492 (112,991)
Citation 185

The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk

EFA 2005 Moscow Meetings
Number of pages: 51 Posted: 12 Jan 2005
Hanno N. Lustig, Adrien Verdelhan and Adrien Verdelhan
Stanford Graduate School of Business and National Bureau of Economic Research (NBER)Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 380 (151,308)
Citation 190

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Asset Pricing, Exchange Rates

The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk

Banque de France Working Paper No. NER-R 155
Number of pages: 62 Posted: 25 Oct 2010
Hanno N. Lustig, Adrien Verdelhan and Adrien Verdelhan
Stanford Graduate School of Business and National Bureau of Economic Research (NBER)Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 112 (473,928)
Citation 13

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Exchange Rates, Asset Pricing

17.

Information Shocks, Liquidity Shocks, Jumps, and Price Discovery: Evidence from the U.S. Treasury Market

Journal of Financial and Quantitative Analysis (JFQA), Vol. 46, No. 2, 2011
Number of pages: 26 Posted: 18 Mar 2008 Last Revised: 20 Feb 2013
George J. Jiang, Ingrid Lo, Adrien Verdelhan and Adrien Verdelhan
Washington State University, Bank of Canada and National Bureau of Economic Research (NBER)Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 174 (331,762)
Citation 30

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Information Shocks, Jumps, Price Discovery

18.

The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: A Reply

Downloads 165 (347,344)
Citation 9

The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: A Reply

Number of pages: 27 Posted: 05 Oct 2010
Hanno N. Lustig, Adrien Verdelhan and Adrien Verdelhan
Stanford Graduate School of Business and National Bureau of Economic Research (NBER)Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 92 (544,718)
Citation 7

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The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: A Reply

NBER Working Paper No. w13812
Number of pages: 52 Posted: 15 Feb 2008 Last Revised: 29 Sep 2022
Hanno N. Lustig, Adrien Verdelhan and Adrien Verdelhan
Stanford Graduate School of Business and National Bureau of Economic Research (NBER)Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 73 (627,262)
Citation 1

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19.

The Cross-Section of Currency Risk Premia and Us Consumption Growth Risk

NBER Working Paper No. w11104
Number of pages: 52 Posted: 08 Aug 2012 Last Revised: 05 Nov 2022
Hanno N. Lustig, Adrien Verdelhan and Adrien Verdelhan
Stanford Graduate School of Business and National Bureau of Economic Research (NBER)Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 65 (656,591)

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20.

International Risk Cycles

NBER Working Paper No. w17277
Number of pages: 50 Posted: 08 Aug 2011 Last Revised: 18 Mar 2023
Francois Gourio, Michael Siemer, Adrien Verdelhan and Adrien Verdelhan
Federal Reserve Bank of Chicago, Board of Governors of the Federal Reserve System and National Bureau of Economic Research (NBER)Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 42 (794,764)
Citation 31

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