This Excel file contains the dataset used in the paper :

"THE CROSS-SECTION OF FOREIGN CURRENCY RISK PREMIA AND CONSUMPTION GROWTH RISK" by Hanno L

The construction of the data set is presented in the Appendix of the paper.
We thank Carmen Reinhardt for generously sharing with us her database of annual default events.

Folder Portfolios:

Annual excess returns on 8 foreign currency portfolios.

Folder Factors

Annual pricing factors (presented in Table 3 in the paper).

ON GROWTH RISK" by Hanno Lustig and Adrien Verdelhan.
 portfolio data: all countries
P1 P2 P3 P4 P5 P6 P7 P8
1953 -0.8670079 -1.1751053 -1.2250921 -0.6582227 0.22476639 0.54238247 0.78880772 2.93913401
1954 -1.401915 -1.4059702 -0.5418463 1.24250433 -0.2803424 1.02764045 1.27785629 11.082496
1955 -1.1927183 0.60579527 -3.2962014 0.72727612 1.38237391 1.54032813 3.85358614 2.30771436
1956 -2.0450444 -1.4238758 0.27549364 0 4.15687389 -0.0974249 0.55127939 1.16653787
1957 -1.3216709 -0.930615 2.14255801 0.87165324 1.28161038 -2.0891196 0.93215038 2.23402544
1958 -1.9724548 0.23641564 0.87473513 2.95505037 1.8397716 -1.036483 1.53405552 2.83832187
1959 -1.7492524 -0.2209166 0.15751798 -0.0186763 0.37774498 1.48699025 2.24897116 1.13909398
1960 -1.8359851 -1.3242691 -1.0196522 -0.947057 -0.6223884 -0.7645973 -0.4771084 -1.2088357
1961 4.07617093 -3.3888751 1.4155 1.5331877 6.05298207 1.81652934 1.86256276 2.91222275
1962 -1.3322368 -0.7115383 -2.9589149 0.71052632 0.94243421 1.07956552 1.14696853 2.26736971
1963 -1.3053018 -0.9247896 0.29397 -0.1666816 0.41106044 0.29738423 0.47983545 1.34135204
1964 -1.7850324 -1.022346 -0.9276034 -0.334657 -0.4610227 -0.436344 1.03555558 0.65432506
1965 -0.8179659 -0.1788254 -0.393152 -15.05467 0.6558052 0.85831581 1.49355811 2.53509231
1966 -1.4385228 -0.3087081 -0.5028937 -0.6210819 0.08705077 -0.0973647 0.83585054 28.8664742
1967 -1.1003391 0.20830066 -0.2980167 -6.6720988 0.66270737 -13.670812 1.37042834 -0.7963874
1968 -1.8175108 -1.042353 -0.6750709 -0.7714232 -0.071995 0.2188319 1.02773217 -4.6115809
1969 0.83857162 -26.752879 -1.5289597 -1.1319873 -0.6263476 -0.1153117 0.6428101 -1.6368806
1970 -4.1605663 -3.4560138 -2.6611407 -1.6394084 -1.57291 -1.0995476 2.74511219 0.07618427
1971 3.38730879 0.07054554 7.4511446 14.1482938 11.6659952 11.0223517 8.1087379 6.8388371
1972 0.97376889 -3.6016214 3.03151794 -7.2818587 0.79493686 4.9072952 2.29157356 -23.876404
1973 6.37960413 0.7810175 5.81700908 10.4683575 15.9832152 -4.8778529 8.71295876 6.31559776
1974 0.22246477 0.96650508 -4.2074642 12.9997051 -5.2658261 7.82742609 3.89816943 2.19067507
1975 -14.078389 -14.250866 -4.8291506 -4.9438436 -2.172673 -1.4308378 -1.8584262 -2.5774876
1976 -1.6312822 7.55928319 6.58031166 6.05367844 -3.4562457 -4.9449586 13.2678727 -8.1230661
1977 3.32045738 6.50181316 2.16031039 12.6117097 2.96623188 4.84477687 11.8414916 10.3816819
1978 0.3638806 15.2502289 -2.7058695 4.4984129 -21.814498 9.91607311 12.6503765 9.27683883
1979 -13.421763 -2.2665346 -2.4365193 1.16974038 -0.0866263 2.78822465 2.03410607 -9.8117378
1980 -4.6257656 -6.1132032 -3.7465123 -11.208556 -1.7776657 -5.1086966 -5.382434 -4.5332923
1981 -14.170273 -3.7287882 -17.261529 -15.282473 -22.238468 -20.6229 -16.357822 -12.724154
1982 -9.8173327 -4.4810124 -9.134581 -7.1399792 -7.1769616 -11.210822 -9.0463765 -13.465242
1983 -10.855875 3.92456686 -23.467723 -16.756353 -6.1616524 -12.416757 -6.1174371 -28.759242
1984 -13.004743 -5.7331394 -13.704842 -9.7356368 -16.093396 -22.147225 -11.461363 -16.789767
1985 -6.7399599 3.74408655 4.43662672 19.1080652 0.94067587 16.8244578 20.9666956 2.28040396
1986 4.90911372 8.76716475 11.7350032 12.0056905 12.0970655 12.7999132 -1.637132 4.16722491
1987 17.4472748 7.1647623 5.52352877 21.4279001 12.2431545 17.8052076 24.7447912 -5.8078352
1988 -10.499316 -3.3998391 -14.075506 -9.4518461 -4.3660179 -5.3413494 3.95070531 -4.3329108
1989 -1.7214193 -10.094324 0.53897927 1.64743206 -0.4287667 -5.345462 5.06966912 -1.3557531
1990 -4.486407 5.14062335 1.15970924 4.95172385 15.1099714 15.5230753 11.4559951 0.37476456
1991 1.37563935 -2.8101172 -0.8255604 -8.7570903 1.78344811 2.5506412 4.76906261 2.23780539
1992 4.42147403 -0.0030336 -0.6025008 -2.7208357 -5.4329223 -2.5803766 -11.501269 3.32266964
1993 4.13579378 3.89027061 2.13326835 -2.5511453 -1.2956803 -9.6740956 1.6832717 -0.4458837
1994 5.00696135 7.52737156 7.39286291 13.3009196 7.00975763 1.31418323 17.0340621 6.5558938
1995 2.10414418 3.3614402 1.85136193 3.95891424 6.64498312 6.46078856 4.17109232 58.4714872
1996 -8.4472116 -0.6155287 3.71676156 1.04454394 2.49729726 -2.4372121 10.2869777 18.4960095
1997 -14.8906 -9.7607812 -5.3233442 -12.968422 -7.4045334 0.2651691 -4.7665228 15.7833473
1998 1.93925998 1.63866892 0.41334848 3.89193086 -0.3087855 -5.7423337 3.1140555 8.39580736
1999 -11.393736 -7.3886435 4.17613298 -3.202553 -2.0572185 4.65396589 0.59014919 5.29932879
2000 -9.2962596 -8.6340783 -4.6626296 -4.1763849 -6.4333338 -3.2240104 -3.2741915 5.19638129
2001 -7.348155 -6.6526086 -4.523977 -1.2928708 -7.7116155 -11.22515 1.59640511 5.3381829
2002 4.88552978 12.8093541 16.9014431 10.6092018 9.93738032 8.73265696 25.2032077 9.13176905
 portfolio data: developed countries
Po1 Po2 Po3 Po4 Po5
1953 NaN NaN NaN NaN NaN
1954 NaN NaN NaN NaN NaN
1955 -1.1927183 0.60579527 -3.2962014 1.38237391 3.85358614
1956 -2.0450444 -1.4238758 0.27549364 4.15687389 0.55127939
1957 -1.3216709 -0.930615 1.28161038 -2.0891196 0.93215038
1958 -1.9724548 0.87473513 2.95505037 1.8397716 1.53405552
1959 -1.7492524 -0.2209166 0.15751798 -0.0186763 0.37774498
1960 -1.8359851 -1.3242691 -0.947057 -0.6223884 -0.7645973
1961 4.07617093 -3.3888751 1.4155 1.5331877 6.05298207
1962 -1.3322368 -0.7115383 -2.9589149 0.71052632 0.94243421
1963 -0.9247896 0.29397 -0.1666816 0.41106044 0.29738423
1964 -1.022346 -0.9276034 -0.334657 -0.4610227 1.03555558
1965 -1.9013524 -0.1787894 -0.1788615 -0.6725985 -0.1137054
1966 -2.0722404 -0.8048052 0.13768635 -0.7287972 -0.2769902
1967 -1.0606593 -1.1400188 0.10432454 -0.1735765 -0.4224569
1968 -2.3242619 -1.3107596 -1.3018332 -0.7828728 -0.3151268
1969 4.72862707 -3.0514838 -1.0618355 -1.9960838 -1.478382
1970 -3.1658514 -2.3817592 -2.3133059 -0.965511 -1.9702513
1971 0.52129062 7.6840646 12.744135 15.5524526 11.9353038
1972 0.26772659 1.6798112 0.97861535 2.83875859 -7.3386729
1973 1.16264333 11.5965649 -1.5123524 14.5353583 6.40135672
1974 7.12209456 -7.9697555 -0.445173 11.3292005 14.6702098
1975 -7.1377465 -1.5703964 -8.0879049 -2.4573014 -7.4303859
1976 6.15724706 8.96131932 11.2501773 4.61151257 -8.7094661
1977 12.8536746 9.8489651 23.1709557 14.0211633 -4.3316095
1978 12.6073876 20.6440787 12.4992202 6.3486041 6.91260404
1979 -22.650529 0.3565618 -0.1088777 1.28787028 5.65694787
1980 11.5507311 -14.029385 -15.675009 4.22493115 -7.3538032
1981 -8.0585074 -15.071761 -17.980096 -17.273696 -16.679232
1982 -11.894285 -14.343832 -7.6126972 -6.8968463 -6.9103942
1983 -12.738191 -1.0906597 -16.648351 -14.627825 -7.5637346
1984 -21.569034 -11.884757 -16.655591 -17.096282 -29.487971
1985 22.8937826 27.4494081 28.347886 9.79114421 32.1344433
1986 25.232537 26.4385971 25.1609475 16.3270032 19.8284837
1987 22.7853917 26.4448127 24.116737 15.8281328 22.9170879
1988 -15.705225 -8.8551806 -10.95984 5.09145677 -9.0224569
1989 -7.7939041 -1.6359239 3.62066758 4.52174497 3.34738818
1990 9.00651031 17.3249021 16.0703971 17.6547021 17.9833062
1991 2.54589829 0.31505796 1.67654611 1.88401728 4.15510373
1992 1.06559543 -6.1322097 -2.6972715 -1.4964675 -0.3666099
1993 6.47284289 1.39443685 0.45186147 5.37335333 -2.7382175
1994 5.50028099 5.06314536 16.3991215 11.3211954 14.5950605
1995 2.74271083 7.94884206 8.73941997 3.76708358 5.12532228
1996 -15.961656 -8.4909142 -7.1018145 2.85068092 -2.5633497
1997 -13.698567 -11.491709 -16.672118 -15.711337 -15.068434
1998 6.5273192 6.30013068 0.7209528 -0.5642658 1.57157217
1999 -4.9273829 -15.607649 -15.344674 -15.327168 -15.310745
2000 -13.208224 -6.5088178 -8.336772 -8.1747353 -8.1912244
2001 -11.902053 -9.4149261 -6.6365548 -6.612303 -6.5391783
2002 4.46039276 10.7614214 19.2917451 19.3164185 19.2595786
Po6 Po7 Po8
NaN NaN NaN
NaN NaN NaN
1.72927937 1.98727342 3.2065903
0.96384266 0.9344101 1.60136085
2.17837745 1.99426696 2.52943191
2.2465288 2.92015655 3.34828025
1.48699025 2.24897116 1.43452198
-0.6139613 0.92270256 -3.9352484
1.91419233 2.29463437 3.31612746
1.07956552 1.31178799 2.52663879
0.47983545 0.58315371 1.59411922
-0.2814775 0.12875 1.24445126
0.44213202 0.44091067 1.72407747
-0.7912869 0.37597564 0.71200942
0.59693937 0.41858892 -2.0983723
-1.0350151 -0.4288011 1.3366066
-0.8668923 -0.5084881 -1.8025765
-1.1755688 -0.6942075 1.7725472
11.3966866 8.74385205 9.64590034
-7.2250445 8.56044668 4.88532755
16.7986359 -3.5129958 8.00070186
-10.282404 14.0399551 5.64287926
-4.4762649 -5.799958 -4.4375455
-11.58734 13.1716357 -5.0839203
8.82671901 14.8562642 12.1755419
-6.6648878 15.0056321 13.4581743
-4.4872923 2.01463539 3.0813158
-12.672288 -2.834512 -5.1439567
-17.539826 -23.104346 -15.355696
-11.618482 -25.53648 -9.4987491
-11.98143 -9.118137 -8.9158875
-14.492368 -8.7413958 -10.602681
4.59483183 17.7730694 36.4918573
13.1766378 21.1550428 19.9407202
27.1970776 25.2099655 28.5196763
-1.8667416 8.44549846 -1.3199771
7.02473739 3.11460085 0.65102892
9.75256339 19.8451762 12.8801351
2.79341712 2.1115446 4.62586496
-8.7408183 -8.2124499 -8.0452565
-4.5883791 -4.849112 -2.9306114
13.7404402 16.6322438 15.877964
4.40930064 13.0642777 6.7684328
6.25112137 4.85392094 4.52003761
-9.4447853 -8.9635484 -13.580187
7.40722494 0.38067096 2.31605583
-9.8377828 6.93596565 -2.2786127
-9.6377597 -2.2374118 -10.614734
-6.4748574 -6.1243926 -3.4937047
19.3432064 19.785219 22.4354185
 CAPM Fama-French Equity CAPM Fama-French Bond CAPM
Rvwexc Rvwexc RSMB RHML Rlong Rcorp
1953 -1.5 -1.5 -0.72 -8.72 0.250155 -0.222075
1954 49.4 49.4 -2.08 25.23 1.680198 1.580636
1955 23.73 23.73 -5.96 5.2 -1.731393 1.801907
1956 6.01 6.01 -0.49 -2.77 -4.23266 -0.071624
1957 -13.53 -13.53 -2.42 -6.66 3.528317 -2.353483
1958 43.3 43.3 14.68 12.17 -4.49861 2.570291
1959 9.56 9.56 5.55 1.83 -4.729746 2.175587
1960 -1.51 -1.51 -2.37 -5.01 6.774387 -4.492008
1961 24.87 24.87 0.05 6.36 -0.033342 1.477109
1962 -13.03 -13.03 -9.12 9.92 3.025004 0.4877
1963 17.77 17.77 -6.25 15.53 -1.181687 1.381885
1964 12.78 12.78 -1.81 9.59 0.126343 0.276266
1965 10.47 10.47 21.37 7.82 -2.881003 1.148045
1966 -13.44 -13.44 2.5 -1.18 0.558228 -5.376116
1967 24.36 24.36 49.57 -8.43 -7.753886 1.695334
1968 8.95 8.95 24.06 18.1 -2.874109 20.20903
1969 -17.41 -17.41 -14.39 -10.42 -12.00066 3.173552
1970 -6.44 -6.44 -11.58 21.77 10.74377 -7.738883
1971 11.81 11.81 6.07 -11.26 6.326772 -1.556749
1972 13.5 13.5 -12.12 1.58 -1.342946 5.93749
1973 -25.7 -25.7 -23.82 17.41 -1.868822 -0.308208
1974 -35.94 -35.94 -0.6 10.03 -3.600642 -3.763197
1975 31.55 31.55 14.89 8.85 -1.661845 5.518198
1976 21.69 21.69 13.96 23.91 10.27494 -1.005067
1977 -8.1 -8.1 23.35 8.06 -4.025348 5.131471
1978 1.36 1.36 14.06 0.46 -7.506272 3.096637
1979 14.02 14.02 20.24 -2.49 -8.218549 -2.81743
1980 21.97 21.97 5.54 -25.25 -14.73487 -2.494279
1981 -18.69 -18.69 6.59 25.39 -10.69048 4.939313
1982 9.89 9.89 8.49 12.4 32.92741 -9.381075
1983 13.91 13.91 13.98 20.03 -6.790397 6.027063
1984 -6.57 -6.57 -8.09 19.72 6.108967 1.817141
1985 23.74 23.74 -0.29 1.66 24.23873 -2.783235
1986 9.44 9.44 -9.94 9.47 15.18741 -1.477403
1987 -3.71 -3.71 -10.7 -1.62 -8.812514 1.453692
1988 11.26 11.26 5.6 14.69 1.052327 6.950587
1989 20.08 20.08 -12.46 -4.8 10.25248 -3.228843
1990 -13.87 -13.87 -14.64 -9.87 0.013764 0.869388
1991 27.99 27.99 15.64 -14.56 12.78881 -3.490294
1992 5.54 5.54 7.74 23.84 3.416728 3.302217
1993 8.6 8.6 6.67 17.62 9.939553 1.597395
1994 -4.51 -4.51 -1.74 0.08 -10.37727 4.889579
1995 30.13 30.13 -8.38 2.69 20.30727 -3.952049
1996 16.07 16.07 -1.96 3.65 -4.918843 4.107505
1997 25.18 25.18 -4.9 12.4 6.882054 -1.175865
1998 17.7 17.7 -25.26 -9.06 9.142518 -3.544776
1999 20.36 20.36 14.33 -33.46 -11.9417 4.47312
2000 -16.85 -16.85 -3.46 42.99 11.88952 -5.522984
2001 -14.95 -14.95 18.56 18.01 -0.337654 5.955006
2002 -22.49 -22.49 3.7 10.78 13.43386 -3.964351
CCAPM Durables-CCAPM
Consumption Growth Yogo factoGrowth rate of the stock of durables
1.7386268306 1.738627 7.062513
1.2447482253 1.244748 1.176725
2.9352561722 2.935256 5.956977
2.1292762018 2.129276 2.006661
1.1170675698 1.117068 2.848945
0.5321428699 0.532143 -0.855901
2.6240979272 2.624098 2.033469
0.1029879293 0.102988 0.515337
1.3801239948 1.380124 -0.384711
1.5496546288 1.549655 1.940239
2.4068794508 2.406879 3.465208
3.8733397748 3.87334 4.292055
2.9895604265 2.98956 5.170862
3.4844211368 3.484421 5.973488
2.0090470591 2.009047 4.833712
2.2093603773 2.20936 5.250235
1.320832204 1.320832 3.794874
1.5103000999 1.5103 1.968441
0.4534199627 0.45342 3.175899
1.9372111306 1.937211 3.690221
1.4732229525 1.473223 5.117986
-2.7553757563 -2.755376 1.896155
0.7591041019 0.759104 1.624172
2.6543537959 2.654354 3.009196
2.0576313778 2.057631 4.184046
1.3704104295 1.37041 3.66843
0.9653396531 0.96534 2.797999
-3.890927739 -3.890928 -1.873102
-1.0503738573 -1.050374 -0.455544
0.2914824254 0.291482 0.278134
4.122292238 4.122292 4.131196
2.2423286104 2.242329 5.547214
2.6450584482 2.645058 5.706071
1.3765858949 1.376586 5.78663
2.5655511169 2.565551 5.187269
2.146526791 2.146527 4.618892
0.743259028 0.743259 3.534189
1.8613115809 1.861312 3.202133
-0.5188027519 -0.518803 1.128162
1.2084102903 1.20841 1.400961
2.1371456841 2.137146 2.442322
2.4298414324 2.429841 3.420718
0.8075418659 0.807542 2.574896
2.3440944481 2.344094 3.593942
1.8498991702 1.849899 3.914839
2.5450266768 2.545027 4.7565
2.6474218413 2.647422 5.754618
3.6672876348 3.667288 6.201824
0.3753867433 0.375387 5.273008
1.2076875296 1.207688 5.848395