Basu, Parantap; Semenovz, Andrei; Wadax, Kenji - Centre for Dynamic Macroeconomic Analysis, University … - 2007
This paper develops an integrated model, which addresses the recent Brandt, Cochrane and Santa-Clara (2006) puzzle of reconciling low international risk sharing with a high and variable equity premium. In addition, a new currency risk premium puzzle is also addressed. Following Kocherlakota and...