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International risk sharing is better than you think : (or exchange rates are much too smooth)

Brandt, Michael W.; Cochrane, John H.; Santa-Clara, Pedro - 2001

Persistent link: https://www.econbiz.de/10001599163

International risk sharing is better than you think, or exchange rates are too smooth

Brandt, Michael W.; Cochrane, John H.; Santa-Clara, Pedro - In: Journal of monetary economics 53 (2006) 4, pp. 671-698

Persistent link: https://www.econbiz.de/10003333393

International risk sharing is better than you think : or exchange rates are much too smooth

Brandt, Michael W. (contributor); … - 2001

Persistent link: https://www.econbiz.de/10003732449

Two trees : asset price dynamics induced by market clearing

Cochrane, John H.; Longstaff, Francis A.; Santa-Clara, Pedro - 2003

Persistent link: https://www.econbiz.de/10001852332

Two trees

Cochrane, John H.; Longstaff, Francis A.; Santa-Clara, Pedro - In: The review of financial studies 21 (2008) 1, pp. 347-385

Persistent link: https://www.econbiz.de/10003716171

International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth)

Brandt, Michael W.; Cochrane, John H.; Santa-Clara, Pedro - Weiss Center for International Financial Research, … - 2001

Exchange rates depreciate by the difference between the domestic and foreign marginal utility growths. Exchange rates vary a lot, as much as 10% per year. However, equity premia imply that marginal utility growths vary much more, by at least 50% per year. This means that marginal utility growths...

Persistent link: https://www.econbiz.de/10005553685

International risk sharing is better than you think, or exchange rates are too smooth

Brandt, Michael W.; Cochrane, John H.; Santa-Clara, Pedro - In: Journal of Monetary Economics 53 (2006) 4, pp. 671-698

Persistent link: https://www.econbiz.de/10005180340

International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth)

Cochrane, John H.; Brandt, Michael W.; Santa-Clara, Pedro - National Bureau of Economic Research (NBER) - 2001

Exchange rates depreciate by the difference between the domestic and foreign marginal utility growths. Exchange rates vary a lot , as much as 10% per year. However, equity premia imply that marginal utility growths vary much more, by at least 50% per year. This means that marginal utility...

Persistent link: https://www.econbiz.de/10005714072

INTERNATIONAL RISK SHARING IS BETTER THAN YOU THINK (OR EXCHANGE RATES ARE MUCH TOO SMOOTH)

Brandt, Michael W.; Cochrane, John H.; Santa-Clara, Pedro - 2001

Persistent link: https://www.econbiz.de/10006978168

International risk sharing is better than you think, or exchange rates are too smooth

Brandt, Michael W.; Cochrane, John H.; Santa-Clara, Pedro - In: Journal of monetary economics 53 (2006) 4, pp. 671-698

Persistent link: https://www.econbiz.de/10007632845