全球智库信息集成服务系统(G2TT): Consumption Risk-Sharing and the Real Exchange Rate: Why does the Nominal Exchange Rate Make Such a Difference?

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来源类型	Working Paper
规范类型	报告
DOI	10.3386/w17288
来源ID	Working Paper 17288
	Consumption Risk-Sharing and the Real Exchange Rate: Why does the Nominal Exchange Rate Make Such a Difference?
	Michael B. Devereux; Viktoria Hnatkovska
发表日期	2011-08-11
出版年	2011
语种	英语
摘要	A basic prediction of effcient risk-sharing is that relative consumption growth rates across countries or regions should be positively related to real exchange rate growth rates across the same areas. We investigate this hypothesis, employing a newly constructed multi-country and multi-regional data set. Within countries, we find signifcant evidence for risk sharing: episodes of high relative regional consumption growth are associated with regional real exchange rate depreciation. Across countries however, the association is reversed: relative consumption and real exchange rates are negatively correlated. We identify this failure of risk sharing as a border effect. We find that the border effect is substantially (but not fully) accounted for by nominal exchange rate variability. We then ask whether standard open economy macro models can explain these features of the data. We argue that they cannot. To explain the role of the nominal exchange rate in deviations from cross country consumption risk sharing, it is necessary to combine multiple sources of shocks, ex-ante price setting, and incomplete financial markets.
主题	International Economics ; International Finance ; International Macroeconomics
URL	https://www.nber.org/papers/w17288
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/574963
推荐引用方式 GB/T 7714	Michael B. Devereux,Viktoria Hnatkovska. Consumption Risk-Sharing and the Real Exchange Rate: Why does the Nominal Exchange Rate Make Such a Difference?. 2011.

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w17288.pdf（1719KB）	智库出版物		限制开放	CC BY-NC-SA	浏览