| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w17277 |
| 来源ID | Working Paper 17277 |
| International Risk Cycles | |
| François Gourio; Michael Siemer; Adrien Verdelhan | |
| 发表日期 | 2011-08-04 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | Recent work in international finance suggests that the forward premium puzzle can be accounted for if (1) aggregate uncertainty is time-varying, and (2) countries have heterogeneous exposures to a world aggregate shock. We embed these features in a standard two-country real business cycle framework, and calibrate the model to match the differences between low and high interest rates countries. Unlike traditional real business cycle models, our model generates volatile exchange rates, a large currency forward premium, "excess comovement'' of asset prices relative to quantities, and an imperfect correlation between relative consumption growth and exchange rates. Our model implies, however, that high interest rate countries have smoother quantities, equity returns and interest rates than low interest rate countries, contrary to the data. |
| 主题 | Macroeconomics ; Business Cycles ; Money and Interest Rates ; International Economics ; International Finance ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w17277 |
| 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/574952 |
| 推荐引用方式 GB/T 7714 | François Gourio,Michael Siemer,Adrien Verdelhan. International Risk Cycles. 2011. |
| 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 | ||
| w17277.pdf（388KB） | 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。
