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Abstract Lustig and Verdelhan (2007) argue that the excess returns to borrowing US dollars and lending in foreign currency "compensate US investors for taking on more US consumption growth risk," yet the stochastic discount factor corresponding to their benchmark model is approximately uncorrelated with the returns they study. Hence, one cannot reject the null hypothesis that their model explains none of the crosssectional variation of the expected returns. The fact that such contrasting conclusions can be reached from the same set of data re ‡ects the statistically weak identi…cation of their model. J.E.L. Classi…cation: F31, G12. I thank John Cochrane, Martin Eichenbaum, Ravi Jagannathan, Sergio Rebelo and an anonymous referee for helpful comments and useful conversations, and the NSF for research support. Responsibility for the opinions expressed and possible errors contained within this comment is entirely my own. y Duke University and NBER