Caporale, Guglielmo Maria; Donadelli, Michael; Varani, … - In: Journal of International Financial Markets, … 36 (2015) C, pp. 85-99
The US–China data suggest that (i) the real exchange rate (RER) volatility puzzle (high RER volatility relative to consumption volatility), (ii) the Backus–Smith anomaly (negative correlation between the RER and consumption differentials), (iii) the consumption correlation puzzle (relatively...