Arbeitspapier
Low Risk Sharing with Many Assets
Classical contributions in international macroeconomics rely on goods-market mechanisms to reconcile the cyclicality of real exchange rates when financial markets are incomplete. However, cross-border trade in one domestic and one foreign-currency-denominated risk-free asset prohibits these mechanisms from breaking the pattern consistent with complete markets. In this paper, we characterize how goods markets drive exchange rate cyclicality, taking into account trade in risk-free and/or risky assets. We show that goods-market mechanisms come back into play, even when there is cross-border trade in two risk-free assets, as long as we allow for empirically plausible heterogeneity in the stochastic discount factors of domestic marginal investors.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 361
- Klassifikation
-
Wirtschaft
Business Fluctuations; Cycles
Foreign Exchange
International Business Cycles
International Financial Markets
- Thema
-
risk sharing
incomplete markets
exchange rates
Portfolio-Management
Internationaler Finanzmarkt
Risikomanagement
Wechselkurs
Zyklisches Verhalten
Zwei-Länder-Modell
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Marin, Emile A.
Singh, Sanjay R.
- Ereignis
-
Veröffentlichung
- (wer)
-
University of California, Department of Economics
- (wo)
-
Davis, CA
- (wann)
-
2023
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Marin, Emile A.
- Singh, Sanjay R.
- University of California, Department of Economics
Entstanden
- 2023
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