| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13182 |
| DP13182 An Intermediation-Based Model of Exchange Rates | |
| Semyon Malamud; Paul Schrimpf | |
| 发表日期 | 2018-09-16 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | We develop a general equilibrium model with intermediaries at the heart of international financial markets. In our model, intermediaries bargain with their customers and extract rents for providing access to foreign claims. The behavior of intermediaries, by tilting state prices, generates an explicit, non-linear risk structure in exchange rates. We show how this endogenous risk structure helps explain a number of anomalies in foreign exchange and international capital markets, including the safe haven properties of exchange rates and the breakdown of covered interest parity. |
| 主题 | Financial Economics ; International Macroeconomics and Finance ; Monetary Economics and Fluctuations |
| 关键词 | Financial intermediation Exchange rates Safe haven Covered interest parity deviations |
| URL | https://cepr.org/publications/dp13182 |
| 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/541986 |
| 推荐引用方式 GB/T 7714 | Semyon Malamud,Paul Schrimpf. DP13182 An Intermediation-Based Model of Exchange Rates. 2018. |
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