| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP10232 |
| DP10232 Exchange Rates Dynamics with Long-Run Risk and Recursive Preferences | |
| Robert Kollmann | |
| 发表日期 | 2014-11-02 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | Standard macro models cannot explain why real exchange rates are volatile and disconnected from macro aggregates. Recent research argues that models with persistent growth rate shocks and recursive preferences can solve that puzzle. I show that this result is highly sensitive to the structure of financial markets. When just a bond can be traded internationally, then long-run risk generates insufficient exchange rate volatility. A longrun risk model with recursive-preferences in which all agents trade in complete global financial markets can generate realistic exchange rate volatility; however, I show that this entails huge international wealth transfers, and excessive swings in net foreign asset positions. By contrast, a long-run risk, recursive-preferences model in which only a small fraction of households trades in complete markets, while the remaining households lead hand-to-mouth lives, generates realistic exchange rate and external balance volatility |
| 主题 | International Macroeconomics |
| 关键词 | exchange rate Long-run risk Recursive preferences Complete financial markets Financial frictions international risk sharing |
| URL | https://cepr.org/publications/dp10232 |
| 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/539065 |
| 推荐引用方式 GB/T 7714 | Robert Kollmann. DP10232 Exchange Rates Dynamics with Long-Run Risk and Recursive Preferences. 2014. |
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