International risk cycles

• 成果类型: Article; Proceedings Paper
• 署名作者: Gourio, Francois; Siemer, Michael; Verdelhan, Adrien
• 署名单位: Boston University; National Bureau of Economic Research; Boston University; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Massachusetts Institute of Technology (MIT)
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2011.10.001
• 发表日期: 2013
• 页码: 471-484
• 关键词: business cycles; time-varying risk premia; disasters; Backus-Smith puzzle; Forward premium puzzle

摘要

Recent work in international finance suggests that exchange rate puzzles 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 equity risk premia in 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. (C) 2011 Elsevier B.V. All rights reserved.