BORDERS AND NOMINAL EXCHANGE RATES IN RISK-SHARING

• 成果类型: Article
• 署名作者: Devereux, Michael B.; Hnatkovska, Viktoria V.
• 署名单位: University of British Columbia
• 刊物名称: JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION
• ISSN/ISSBN: 1542-4766
• DOI: 10.1093/jeea/jvz012
• 发表日期: 2020
• 页码: 1238-1283
• 关键词: monetary-policy rules; UNITED-STATES; open-economy; financial-markets; consumption; prices; TRADE; INFORMATION; persistence; rigidities

摘要

Models of risk-sharing predict that relative consumption growth rates are positively related to changes in real exchange rates. We investigate this hypothesis using a new multicountry and multiregional data set. Within countries, we find 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 define this reversal as a border effect. We find the border effect and show that it accounts for over half of the deviations from full risk-sharing. Since cross-border real exchange rates involve different currencies, it is natural to ask how much of the border effect is accounted for by movements in exchange rates. Our measures indicate that a large part of the border effect comes from nominal exchange rate fluctuations. We develop a simple open economy model that is consistent with the importance of nominal exchange rate variability in accounting for deviations from cross-country risk-sharing.