Incomplete Consumption Risk Sharing and Currency Risk Premiums
Incomplete Consumption Risk Sharing and Currency Risk Premiums
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不完全消费风险分担和货币风险溢价
DOI：
10.2139/ssrn.431821
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发表时间：
2003
期刊：
影响因子：
--
通讯作者：
Sergei Sarkissian
中科院分区：
文献类型：
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作者：
Sergei Sarkissian
本文研究了跨国不完全消费风险分担对外汇市场时变风险溢价形成及其横截面差异的影响。这些问题是在适用于多国世界的康斯坦丁尼德斯和达菲(1996)模式的框架内处理的。文章表明，消费增长率的跨国差异是逆周期的，消费数据的这一特征对货币定价略有帮助。特别是，与标准的CCAPM不同，新模型能够在较低的风险厌恶价值下产生货币风险溢价，并为货币收益的横截面差异提供一定的解释能力。版权所有2003，牛津大学出版社。
This article studies the impact of imperfect consumption risk sharing across countries on the formation of time-varying risk premiums in the foreign exchange market and on their cross-sectional differences. These issues are addressed within the framework of the Constantinides and Duffie (1996) model applied to a multicountry world. The article shows that the cross-country variance of consumption growth rates is counter-cyclical and that this feature of consumption data is mildly helpful for currency pricing. In particular, unlike the standard CCAPM, the new model is able to generate currency risk premiums at lower values of risk aversion and provide certain explanatory power for cross-sectional differences in currency returns. Copyright 2003, Oxford University Press.
市场参与不完全、劳动力收入冲击与资产价格
DOI：
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发表时间：
2007
期刊：
SSRN working paper series 1015769
影响因子：
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作者：
Hiroaki OHNO;Hiroaki OHNO;大野弘明;Hiroaki OHNO
通讯作者：
Hiroaki OHNO