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Variance Risk Premium Differentials and Foreign Exchange Returns

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Figure 1: Monthly consumption growth volatility (CGV) and monthly variance risk pre-mium (VRP) in the US (US), the UK (UK), Japan (JP), Europe (EU), and Switzerland(CH) on the sample periods from January 2005 to October 2011
Figure 2: Cross Country VRP Differentials and Spot Exchange Rates. All variables arestandardized (demeaned and divided by standard deviation).
Figure 3: Out-of-sample Rspecific VRP differential on the sample periods from January 2005 to October 2011 (I2 for prediction based on monthly global VRP and countryuse a 5-year training sample from January 2000 to December 2004).
Table 1: Summary Statistics
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