{"title":"Asset Prices and Risk Sharing in Open Economies","authors":"A. Stathopoulos","doi":"10.2139/ssrn.1364082","DOIUrl":null,"url":null,"abstract":"This paper proposes a two-good, two-country general equilibrium model with external habits and home-biased preferences that addresses a number of international …nance puzzles. Speci…cally, the model reconciles the high degree of international risk sharing implied by relatively smooth exchange rates with the modest cross-country consumption growth correlations seen in the data, resolving the Brandt, Cochrane and Santa-Clara (2006) puzzle. Furthermore, the model matches the empirically observed low correlation between exchange","PeriodicalId":369344,"journal":{"name":"American Finance Association Meetings (AFA)","volume":"69 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2016-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"62","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"American Finance Association Meetings (AFA)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.1364082","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 62
Abstract
This paper proposes a two-good, two-country general equilibrium model with external habits and home-biased preferences that addresses a number of international …nance puzzles. Speci…cally, the model reconciles the high degree of international risk sharing implied by relatively smooth exchange rates with the modest cross-country consumption growth correlations seen in the data, resolving the Brandt, Cochrane and Santa-Clara (2006) puzzle. Furthermore, the model matches the empirically observed low correlation between exchange
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