We use a Capital Asset Price Model (CAPM) model to derive the formula of user cost for foreign monetary asset whose rates of return are subject to foreign exchange risk premia. Our formula shows that only domestic non-monetary asset can be used as the benchmark asset. In fact, under dollarization the local currency’ assets offer a higher risk premium and return over the dollar denominated one because the latter is preferred over the first for hedging motives. Using data from Chile (from June 2003 to January 2022) and Croatia (from December 2011 to March 2022), our results show that the inclusion of the currency risk premium has improved substantially the formula proposed by Barnett (1978).

我们使用资本资产价格模型（CAPM）模型推导出收益率受外汇风险溢价影响的外币资产的用户成本公式。我们的公式表明，只有国内非货币资产可以作为基准资产。事实上，在美元化的情况下，本币资产提供了比以美元计价的资产更高的风险溢价和回报，因为出于对冲动机，后者比前者更受青睐。利用智利（2003 年 6 月至 2022 年 1 月）和克罗地亚（2011 年 12 月至 2022 年 3 月）的数据，我们的结果表明，纳入货币风险溢价已大大改善了 Barnett（1978 年）提出的公式。