International Consumption Risk Sharing and Monetary Policy

Sven Blank

No 4.4, Working Paper / FINESS from DIW Berlin, German Institute for Economic Research

Abstract: This project aims at analyzing the impact of monetary policy on the international allocation of risk in a two-country dynamic stochastic general equilibrium model with sticky prices and international portfolio choice. The model features endogenous firms entry which influences the evolution of equity in each country and alters real exchange rate dynamics. Preliminary results show that there may be substantial deviations from efficient consumption risk sharing in the presence of monetary policy when there are frictions in goods as well as asset markets.

Keywords: International portfolio choice; consumption risk sharing; monetary policy; frictions (search for similar items in EconPapers)
JEL-codes: E44 F32 F42 (search for similar items in EconPapers)
Pages: 20 p.
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:diw:diwfin:diwfin4.4

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