作者：Berg, Kimberly A.; Mark, Nelson C.
作者单位：University System of Ohio; Miami University; University of Notre Dame; National Bureau of Economic Research
摘要：We study the currency risk premium and the forward premium bias in a two-country New Keynesian model with production, no physical capital, and recursive utility. Monetary policy follows an interest rate feedback rule and exogenous total factor productivity (TFP) growth follows a long-run risk process with stochastic volatility, which we estimate from data. With cross-country heterogeneity in TFP and monetary policy, reasonable currency risk premia emerge under complete and incomplete markets b...
作者：Backman, Claes; Khorunzhina, Natalia
作者单位：Copenhagen Business School; Copenhagen Business School
摘要：We use household-level data to analyze how the introduction of interest-only (IO) mortgages in Denmark affected consumption expenditure and borrowing. Using an ex ante measure of exposure to the IO mortgage reform motivated by mortgage-payment and leverage constraints, we show households more likely to use an IO mortgage to relax their mortgage-payment constraint increased consumption following the reform. This increase in consumption is financed by borrowing at the time of refinancing and by ...
