EconPapers    
Economics at your fingertips  
 

International Asset Pricing with Recursive Preferences

Mariano Croce and Riccardo Colacito ()
Additional contact information
Mariano Croce: University of North Carolina at Chapel H

No 984, 2012 Meeting Papers from Society for Economic Dynamics

Abstract: Focusing on US and UK, we document that both the Backus and Smith (1993) finding, concerning the low correlation between consumption differentials and exchange rates, and the forward-premium anomaly, concerning the tendency of high interest rate currencies to appreciate, have become more severe through time. After accounting for different capital mobility regimes, we show that these anomalies turn into general equilibriumregularities in a two-country and two-good economy with Epstein and Zin (1989) preferences, frictionless markets, and highly correlated long-run endowment growth prospects.

Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
https://economicdynamics.org/meetpapers/2012/paper_984.pdf (application/pdf)

Related works:
Journal Article: International Asset Pricing with Recursive Preferences (2013) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:red:sed012:984

Access Statistics for this paper

More papers in 2012 Meeting Papers from Society for Economic Dynamics Society for Economic Dynamics Marina Azzimonti Department of Economics Stonybrook University 10 Nicolls Road Stonybrook NY 11790 USA. Contact information at EDIRC.
Series data maintained by Christian Zimmermann ().

 
Page updated 2017-09-29
Handle: RePEc:red:sed012:984