| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8810 |
| 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 |
| URL | https://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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