International risk sharing with endogenously segmented asset markets

• 成果类型: Article
• 署名作者: Cociuba, Simona E.; Ramanarayanan, Ananth
• 署名单位: Western University (University of Western Ontario)
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2018.12.003
• 发表日期: 2019
• 页码: 61-78
• 关键词: International risk sharing; Real exchange rates; Segmented asset markets; Limited asset market participation; Consumption-real exchange rate anomaly; Backus-Smith-Kollmann puzzle

摘要

Asset price data imply a large degree of international risk sharing, while aggregate consumption data do not. We show that a model with trade in goods and endogenously segmented asset markets can account for this puzzling discrepancy. Active households who pay a fixed cost to transfer money into or out of assets share risk within and across countries, and their marginal utility growth prices assets, so asset prices imply high risk sharing. Inactive households consume their current income and do not share risk, so aggregate consumption (which averages across all households) reflects lower risk sharing. The model also provides a resolution to the Backus-Smith-Kollmann puzzle. (C) 2018 Elsevier B.V. All rights reserved.