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Consumption Risk-Sharing and the Real Exchange Rate : Why Does the Nominal Exchange Rate Make Such a Difference?

Devereux, Michael B. - 2011

A basic prediction of effcient risk-sharing is that relative consumption growth rates across countries or regions should be positively related to real exchange rate growth rates across the same areas. We investigate this hypothesis, employing a newly constructed multi-country and multi-regional...

Persistent link: https://www.econbiz.de/10013121595

Risk, Monetary Policy and the Exchange Rate

Benigno, Gianluca - 2011

In this research, we provide new empirical evidence on the importance of time-varying uncertainty for the exchange rate … and the excess return in currency markets. Following an increase in monetary policy uncertainty, the dollar exchange rate …-varying uncertainty aimed at understanding these regularities. In the model, the behaviour of the exchange rate following nominal and real …

Persistent link: https://www.econbiz.de/10013123697

Equilibrium Exchange Rate Hedging

Black, Fischer - 2021

In a one-period model where each investor consumes a single good, and where borrowing and lending are private and real, there is a universal constant that tells how much each investor hedges his foreign investments. The constant depends only on average risk tolerance across investors. The same...

Persistent link: https://www.econbiz.de/10013218727

The Foreign Exchange Risk Premium in a Target Zone with Devaluation Risk

Svensson, Lars E. O. - 2021

The foreign exchange risk premium in an exchange rate target zone regime with devaluation/realignment risks is derived. In contrast to previous literature, the exchange rate's heteroscedasticity within the bard, as well as a separate devaluation/realignment risk, is taken into account. The risk...

Persistent link: https://www.econbiz.de/10013222618

International Risk Sharing and the Choice of Exchange-Rate Regime

Hsieh, David A. - 2021

This paper examines the argument that the fixed exchange rate regime should be preferred to the flexible rate regime because the former allows risk sharing across countries while the latter does not. The analysis is performed in a two-country overlapping generations model, where markets are...

Persistent link: https://www.econbiz.de/10013232193

Risk and Exchange Rates

Obstfeld, Maurice; Rogoff, Kenneth - 2021

This paper develops an explicitly stochastic new open economy macroeconomics' model, which can potentially be used to explore the qualitative and quantitative welfare differences between alternative exchange rate regimes. A crucial feature is that we do not simplify by assuming certainty...

Persistent link: https://www.econbiz.de/10013232899

Ownership Characteristics, Real Exchange Rate Movements and Labor Market Adjustment in China

Mao, Risheng - 2011

This paper uses a firm level multi-industry data set covering 456 Chinese manufacturing sectors to assess the implications of Renminbi (RMB) real exchange rate appreciation for adjustments in employment and wage rates. We stress differences in both industry and firm characteristics within...

Persistent link: https://www.econbiz.de/10013118843

Search and Deliberation in International Exchange : Learning from Multinational Trade About Lags, Distance Effects, and Home Bias

Rangan, Subramanian; Lawrence, Robert Z. - 2021

This paper compares the responses of intra- and extra-firm trade to exchange rate changes. It does so both to inform the debate on whether these responses are qualitatively different and to improve understanding of the microfoundations of features of trade behavior such as long adjustment lags,...

Persistent link: https://www.econbiz.de/10013214590

Conflict and Deterrence Under Strategic Risk

Chassang, Sylvain - 2010

We examine the mechanics of deterrence and intervention when fear is a motive for conflict. We contrast results obtained in a complete information setting, where coordination is easy, to those obtained in a setting with strategic risk, where players have different assessments of their...

Persistent link: https://www.econbiz.de/10012759352

Trading on Sunspots

Jovanovic, Boyan - 2015

In a model with multiple Pareto-ranked equilibria we add trade in assets that pay based on the realization of a sunspot. Asset trading restricts the equilibrium set in a way that raises welfare by eliminating equilibria with a high likelihood of disasters. When the probability of a disaster is...

Persistent link: https://www.econbiz.de/10013031016

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