{"title":"开放经济中的资产价格与风险分担","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":"{\"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}","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}
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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