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Risk sensitive allocations with multiple goods in international finance. Existence, survivorship, and dynamics

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  • Mariano Croce

    (UNC-Chapel Hill)

  • Riccardo Colacito

    (UNC-Chapel Hill)

Abstract

country, representative consumers economy, we document that the risk-sharing scheme produces a non trivial dynamics of net exports and it is also capable of explaining the tendency of high interest rate currencies to appreciate.

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Bibliographic Info

Paper provided by Society for Economic Dynamics in its series 2009 Meeting Papers with number 1201.

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Date of creation: 2009
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Handle: RePEc:red:sed009:1201

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Postal: Society for Economic Dynamics Christian Zimmermann Economic Research Federal Reserve Bank of St. Louis PO Box 442 St. Louis MO 63166-0442 USA
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  1. Robert E. Lucas Jr. & Nancy L. Stokey, 1982. "Optimal Growth with Many Consumers," Discussion Papers 518, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  2. Geoffard, Pierre-Yves, 1996. "Discounting and Optimizing: Capital Accumulation Problems as Variational Minmax Problems," Journal of Economic Theory, Elsevier, vol. 69(1), pages 53-70, April.
  3. Emanuela Sciubba, 2005. "Asymmetric information and survival in financial markets," Economic Theory, Springer, vol. 25(2), pages 353-379, 02.
  4. Duffie, Darrell & Geoffard, Pierre-Yves & Skiadas, Costis, 1994. "Efficient and equilibrium allocations with stochastic differential utility," Journal of Mathematical Economics, Elsevier, vol. 23(2), pages 133-146, March.
  5. Epstein, Larry G & Zin, Stanley E, 1989. "Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework," Econometrica, Econometric Society, vol. 57(4), pages 937-69, July.
  6. Ma, Chenghu, 1993. "Market Equilibrium with Heterogenous Recursive-Utility-Maximizing Agents," Economic Theory, Springer, vol. 3(2), pages 243-66, April.
  7. Anderson, Evan W., 2005. "The dynamics of risk-sensitive allocations," Journal of Economic Theory, Elsevier, vol. 125(2), pages 93-150, December.
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