Why Are Exchange Rates So Smooth? A Segmented Asset Markets Explanation
2015/01/13
研討會日期 : 2015-01-13
時間 : 14:30
主講人 : Professor Yi-Li Chien
主持人 : Professor Cheng-Chen Yang
地點 : Conference Room C103
演講者簡介 : Professor Chien received his Ph.D. in Economics from University of California, Los Angeles in 2006. He is currently a Senior Economist at Research Division in Federal Reserve Bank of St. Louis. His primary research fields are Macroeconomics, Household Finance and Asset Pricing, and secondary research fields are Asymmetric Information and Dynamic Contracting.
演講摘要 : The empirical work on asset prices suggests that pricing kernels are almost perfectly correlated across countries, otherwise real exchange rates are too smooth to be consistent with a consumption-based asset pricing model. However, the cross-country correlation in aggregate consumption is far from perfect. We reconcile these empirical facts in a two-country stochastic growth model with heterogeneous household portfolios. A large fraction of households either do not participate equity market or hold little equities, and these households drive down the cross-country correlation in consumption. Only a small fraction of households participate in international risk sharing by frequently trading home and foreign equities. These active traders are the marginal investors, who cause the almost perfect correlation in pricing kernels. In our calibrated economy, we show that this mechanism can quantitatively account for the excess smoothness of exchange rates in the presence of highly volatile stochastic discount factors.
