Limited asset market participation and the consumption‐real exchange rate anomaly

Autor:	Robert Kollmann
Rok vydání:	2012
Předmět:	Microeconomics Economics and Econometrics Exchange rate Interest rate parity Financial market Economics Balance of trade Asset market International business Monetary economics Volatility (finance) Foreign exchange market
Zdroj:	Canadian Journal of Economics/Revue canadienne d'économique. 45:566-584
ISSN:	1540-5982 0008-4085
DOI:	10.1111/j.1540-5982.2012.01705.x
Popis:	Under efficient consumption risk sharing, as assumed in standard international business cycle models, a country’s aggregate consumption rises relative to foreign consumption, when the country’s real exchange rate depreciates. Yet, empirically, relative consumption and the real exchange rate are essentially uncorrelated. I show that this ‘consumption-real exchange rate anomaly’ can be explained by a simple model in which a subset of households trade in complete financial markets, while the remaining households lead hand-to-mouth (HTM) lives. HTM behavior also generates greater volatility of the real exchange rate and of net exports, which likewise brings the model closer to the data.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::960abf7f576ec29fc2d4848d882f37d2 https://doi.org/10.1111/j.1540-5982.2012.01705.x Zobrazit plný text záznamu Plný text ve formátu PDF