Risk sensitive allocations with multiple goods in international ﬁnance. Existence, survivorship, and dynamics
Abstractcountry, 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Society for Economic Dynamics in its series 2009 Meeting Papers with number 1201.
Date of creation: 2009
Date of revision:
Contact details of provider:
Postal: Society for Economic Dynamics Christian Zimmermann Economic Research Federal Reserve Bank of St. Louis PO Box 442 St. Louis MO 63166-0442 USA
Web page: http://www.EconomicDynamics.org/society.htm
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Anderson, Evan W., 2005. "The dynamics of risk-sensitive allocations," Journal of Economic Theory, Elsevier, vol. 125(2), pages 93-150, December.
- Ma, Chenghu, 1993. "Market Equilibrium with Heterogenous Recursive-Utility-Maximizing Agents," Economic Theory, Springer, vol. 3(2), pages 243-66, April.
- Emanuela Sciubba, 2005.
"Asymmetric information and survival in financial markets,"
Springer, vol. 25(2), pages 353-379, 02.
- Sciubba, E., 1999. "Asymmetric Information and Survival in Financial Markets," Cambridge Working Papers in Economics 9908, Faculty of Economics, University of Cambridge.
- Robert E. Lucas Jr. & Nancy L. Stokey, 1982.
"Optimal Growth with Many Consumers,"
518, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- 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.
- 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.
- 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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christian Zimmermann).
If references are entirely missing, you can add them using this form.