Asset Prices and Real Exchange Rates with Deep Habits

• 成果类型: Article
• 署名作者: Heyerdahl-Larsen, Christian
• 署名单位: University of London; London Business School
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhu043
• 发表日期: 2014
• 页码: 3280
• 关键词: term structure; Currency risk; long-run; consumption; inflation; explanation; portfolio

摘要

I introduce an external habit for each consumption good, known as deep habits, into an otherwise standard international equilibrium model with multiple consumption goods and multiple countries. I show that deep habits coupled with consumption home bias account for a wide range of asset pricing and exchange rate moments. Calibrated to a set of ten countries, the model reproduces the cross-sectional evidence on currency risk premiums when sorting on interest rates, interest rate volatility, innovations to global exchange rate volatility, and value. Hence, the model provides an equilibrium interpretation of these empirical regularities.