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Time-varying international diversification and the forward premium

Listed author(s):
  • Jonen, Benjamin
  • Scheuring, Simon
Registered author(s):

    This paper reproduces the slope of the uncovered interest rate parity (UIP) regression for ten country pairs within one standard deviation under rational expectations. We propose an infinite horizon dynamic stochastic general equilibrium model with incomplete markets. Heterogeneous investors experience varying risk aversion as a result of habit formation.

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    File URL: http://www.sciencedirect.com/science/article/pii/S026156061300137X
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    Article provided by Elsevier in its journal Journal of International Money and Finance.

    Volume (Year): 40 (2014)
    Issue (Month): C ()
    Pages: 128-148

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    Handle: RePEc:eee:jimfin:v:40:y:2014:i:c:p:128-148
    DOI: 10.1016/j.jimonfin.2013.09.004
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/30443

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