全球智库信息集成服务系统(G2TT): Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w22023
来源ID	Working Paper 22023
	Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?
	Hanno Lustig; Adrien Verdelhan
发表日期	2016-02-29
出版年	2016
语种	英语
摘要	Compared to the predictions of complete market models, actual exchange rates are puzzlingly smooth and only weakly correlated with macro-economic fundamentals, suggesting that market incompleteness plays a key role in exchange rate dynamics. Incompleteness in international financial markets introduces a stochastic wedge between the growth rates of marginal utility at home and abroad, and the change in the exchange rate. We derive a preference-free upper bound on the effects of the FX wedges. Even if domestic agents can invest only in the foreign risk-free asset, incomplete spanning fails to simultaneously match the exchange rate volatility, cyclicality and the FX risk premia in the data.
主题	International Economics ; International Finance ; Financial Economics ; Portfolio Selection and Asset Pricing
URL	https://www.nber.org/papers/w22023
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/579697
推荐引用方式 GB/T 7714	Hanno Lustig,Adrien Verdelhan. Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?. 2016.