International Risk Sharing is Better than You Think (or Exchange Rates are Much Too Smooth)
International Risk Sharing is Better than You Think (or Exchange Rates are Much Too Smooth)
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国际风险分担比您想象的要好（或者汇率太平稳）
DOI：
10.1016/j.jmoneco.2005.02.004
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发表时间：
2001
期刊：
影响因子：
--
通讯作者：
Pedro Santa
中科院分区：
文献类型：
--
作者：
Michael W. Brandt;J. Cochrane;Pedro Santa
汇率因国内外边际效用增长或贴现因素之间的差异而贬值。汇率变化很大，每年高达15%。然而，股票溢价意味着边际效用增长变化更大，每年至少 50%。因此，各国之间的边际效用增长必定是高度相关的：国际风险分担比你想象的要好。相反，如果风险确实不在国际范围内分担，那么汇率的变化就应该比实际情况更大：汇率太平滑了。我们计算了一个国际风险分担指数，将这种直觉形式化。我们谨慎对待不完整资本市场的现实案例。我们将我们的估计与消费数据和家庭偏见投资组合计算所表明的不良风险分担进行了对比。
Exchange rates depreciate by the difference between domestic and foreign marginal utility growth or discount factors. Exchange rates vary a lot, as much as 15% per year. However, equity premia imply that marginal utility growth varies much more, by at least 50% per year. Therefore, marginal utility growth must be highly correlated across countries: international risk sharing is better than you think. Conversely, if risks really are not shared internationally, exchange rates should vary more than they do: exchange rates are too smooth. We calculate an index of international risk sharing that formalizes this intuition. We treat carefully the realistic case of incomplete capital markets. We contrast our estimates with the poor risk sharing suggested by consumption data and home-bias portfolio calculations.