Asset Prices and Risk Sharing in Open Economies

• 成果类型: Article
• 署名作者: Stathopoulos, Andreas
• 署名单位: University of Washington; University of Washington Seattle
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhw074
• 发表日期: 2017
• 页码: 363
• 关键词: real exchange-rates; habit formation; long-run; term structure; cross-section; DEEP HABITS; consumption; returns; MARKETS; explanation

摘要

This paper proposes a two-country model that features time-varying heterogeneity in conditional risk aversion across countries, endogenously arising from the interaction between external habit formation and preference home bias. The model generates high international correlation of state prices along with modest cross-country consumption growth correlation and matches the empirical disconnect between exchange rate changes and consumption growth rate differentials. The key mechanism is endogenous time variation in conditional consumption growth volatility: the conditionally less risk averse country insures the more risk averse one, offsetting cross-country heterogeneity in conditional risk aversion and leading to significant international comovement in marginal utility growth.