کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
986450 1480835 2008 18 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
International asset markets and real exchange rate volatility
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
International asset markets and real exchange rate volatility
چکیده انگلیسی

The real exchange rate is very volatile relative to major macroeconomic aggregates and its correlation with the ratio of domestic over foreign consumption is negative (Backus–Smith puzzle). These two observations constitute a puzzle to standard international macroeconomic theory. This paper develops a two country model with complete asset markets and limited enforcement for international financial contracts that provides a possible explanation of these two puzzles. The model performs better than a standard incomplete markets model with a single non-contingent bond unless very tight borrowing constraints are imposed in the latter. With limited enforcement for both domestic and international financial contracts, the model's asset pricing implications are brought into line with the empirical evidence, albeit at the expense of raising real exchange rate volatility.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Review of Economic Dynamics - Volume 11, Issue 3, July 2008, Pages 688–705
نویسندگان
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