Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5062656 | Economics Letters | 2006 | 7 Pages |
Abstract
In an incomplete market setting, we show that a pricing kernel exists, which reconciles the observed smooth real exchange rates with high domestic equity premium and low international risk sharing. The estimation results based on the US-Japanese data provide plausible estimates of the deep parameters.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Parantap Basu, Kenji Wada,