| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP10724 |
| DP10724 International Risk Sharing and Portfolio Choice with Non-separable Preferences | |
| Alan Sutherland | |
| 发表日期 | 2015-07-19 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | This paper aims to account for the Backus-Smith puzzle in a two-country DSGE model with endogenous portfolio choice in bonds and equities. Utility is non-separable across consumption and leisure and across time. This model is shown to imply almost zero correlation between relative consumption and the real exchange rate while generating portfolio positions that broadly match the data. Furthermore, the cross-country correlation of consumption is lower than the correlation of output, which has previously been a difficult fact to match. Non-separable preferences are found to be crucial to generating these results but financial market structure plays only a minor role. |
| 主题 | International Macroeconomics and Finance |
| 关键词 | Incomplete markets international risk sharing Backus-smith puzzle Consumption-real exchange rate anomaly Non-separable preferences Portfolio choice |
| URL | https://cepr.org/publications/dp10724 |
| 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/539555 |
| 推荐引用方式 GB/T 7714 | Alan Sutherland. DP10724 International Risk Sharing and Portfolio Choice with Non-separable Preferences. 2015. |
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