| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w8404 |
| 来源ID | Working Paper 8404 |
| International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth) | |
| Michael W. Brandt; John H. Cochrane; Pedro Santa-Clara | |
| 发表日期 | 2001-07-01 |
| 出版年 | 2001 |
| 语种 | 英语 |
| 摘要 | Exchange rates depreciate by the difference between the domestic and foreign marginal utility growths. Exchange rates vary a lot , as much as 10% per year. However, equity premia imply that marginal utility growths vary much more, by at least 50% per year. This means that marginal utility growths must be highly correlated across countries -- international risk sharing is better than you think. Conversely, if risks really are not shared internationally, exchange rates should vary more than they do -- exchange rates are much too smooth. We calculate an index of international risk sharing that formalizes this intuition in the context of both complete and incomplete capital markets. Our results suggest that risk sharing is indeed very high across several pairs of countries. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w8404 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/566006 |
| 推荐引用方式 GB/T 7714 | Michael W. Brandt,John H. Cochrane,Pedro Santa-Clara. International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth). 2001. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w8404.pdf（391KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
