G2TT
来源类型Discussion paper
规范类型论文
来源IDDP8810
DP8810 Portfolio Allocation and International Risk Sharing
Gianluca Benigno
发表日期2012-02-01
出版年2012
语种英语
摘要We show that recent explanations of the consumption-real exchange rate anomaly which rely on goods and financial market frictions are not robust to introducing just one additional international asset. When portfolios are selected optimally, international trade in two nominal bonds implies a consumption-real exchange rate correlation that is too high compared to the data even when there are many shocks. Monetary policy specification plays a potentially important role for the degree of risk sharing provided by nominal bonds, both in the benchmark model with only tradable and non-tradable sector supply shocks and also in the model which allows for news or quality (i-pod) shocks.
主题International Macroeconomics
关键词Consumption-real exchange rate anomaly Incomplete financial markets international risk sharing Portfolio choice
URLhttps://cepr.org/publications/dp8810
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/537646
推荐引用方式
GB/T 7714
Gianluca Benigno. DP8810 Portfolio Allocation and International Risk Sharing. 2012.
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