Limited participation and International Risk-Sharing

Nicolas Coeurdacier

No 613, 2011 Meeting Papers from Society for Economic Dynamics

Abstract: The ”consumption real exchange rate anomaly” is one of the most subborn puzzle in open economy macroeconomics. We make substantial progress by introducing limited participation in an otherwise standard model. In particular, one of our methodological contribution is to show how we can solve for the characteristics and the dynamics of optimal portfolios in such a setup.

Date: 2011
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