Model-Free International Stochastic Discount Factors

• 成果类型: Article
• 署名作者: Sandulescu, Mirela; Trojani, Fabio; Vedolin, Andrea
• 署名单位: University of Michigan System; University of Michigan; Universita della Svizzera Italiana; University of Geneva; University of Geneva; Boston University; National Bureau of Economic Research; Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12970
• 发表日期: 2021
• 页码: 935-976
• 关键词: real exchange-rates; LONG-TERM RISK; asset prices; MARKETS

摘要

We provide a theoretical framework to uncover in a model-free way the relationships among international stochastic discount factors (SDFs), stochastic wedges, and financial market structures. Exchange rates are in general different from the ratio of international SDFs in incomplete markets, as captured by a stochastic wedge. We show theoretically that this wedge can be zero in incomplete and integrated markets. Market segmentation breaks the strong link between exchange rates and international SDFs, which helps address salient features of international asset returns while keeping the volatility and cross-country correlation of SDFs at moderate levels.