Consumption and real exchange rates in professional forecasts

• 成果类型: Article
• 署名作者: Devereux, Michael B.; Smith, Gregor W.; Yetman, James
• 署名单位: University of British Columbia; National Bureau of Economic Research; Queens University - Canada; Bank for International Settlements (BIS)
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2011.08.014
• 发表日期: 2012
• 页码: 33-42
• 关键词: International risk sharing; Backus-Smith puzzle; Consumption/real exchange-rate anomaly

摘要

Standard models of international risk sharing with complete asset markets predict a positive association between relative consumption growth and real exchange-rate depreciations across countries. The striking lack of evidence for this link the consumption/real-exchange-rate anomaly or Backus-Smith puzzle has prompted research on risk-sharing indicators with incomplete asset markets. That research generally implies that the association holds in forecasts, rather than realizations. Using professional forecasts for 28 countries for 1990-2010 we find no such association, whether for floating nominal exchange rate regimes, fixed exchange rates, or common currencies, thus deepening the puzzle. (C) 2011 Elsevier B.V. All rights reserved.