International Asset Pricing with Recursive Preferences

• 成果类型: Article
• 署名作者: Colacito, Riccardo; Croce, Mariano M.
• 署名单位: University of North Carolina; University of North Carolina Chapel Hill
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12088
• 发表日期: 2013
• 页码: 2651-2686
• 关键词: long-run; exchange-rates; financial liberalization; consumption growth; DYNAMIC ECONOMIES; CURRENCY MARKETS; RISK; Allocations; explanation; integration

摘要

Focusing on data from the United States and the United Kingdom, we document that both the anomaly identified by Backus and Smith, which concerns the low correlation between consumption differentials and exchange rates, and the forward premium anomaly, which concerns the tendency of high interest rate currencies to appreciate, have become more severe over time. Taking into account different capital mobility regimes, we show that these anomalies turn into general equilibrium regularities in a two-country and two-good economy with Epstein and Zin preferences, frictionless markets, and correlated long-run growth prospects.