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Limited participation and International Risk-Sharing

  • Nicolas Coeurdacier

    (SciencesPo and CEPR)

The ”consumption real exchange rate anomaly” is one of the most subborn puzzle in open economy macroeconomics. We make substantial progress by introducing limited participation in an otherwise standard model. In particular, one of our methodological contribution is to show how we can solve for the characteristics and the dynamics of optimal portfolios in such a setup.

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File URL: https://www.economicdynamics.org/meetpapers/2011/paper_613.pdf
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Paper provided by Society for Economic Dynamics in its series 2011 Meeting Papers with number 613.

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Date of creation: 2011
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Handle: RePEc:red:sed011:613
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  1. Backus, David K. & Smith, Gregor W., 1993. "Consumption and real exchange rates in dynamic economies with non-traded goods," Journal of International Economics, Elsevier, vol. 35(3-4), pages 297-316, November.
  2. Coeurdacier, Nicolas & Kollmann, Robert & Martin, Philippe, 2007. "International Portfolios with Supply, Demand and Redistributive Shocks," CEPR Discussion Papers 6482, C.E.P.R. Discussion Papers.
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  19. Kraay, Aart & Loayza, Norman & Serven, Luis & Ventura, Jaume, 2004. "Country Portfolios," Policy Research Working Paper Series 3320, The World Bank.
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  24. Kollmann, Robert, 1995. "Consumption, real exchange rates and the structure of international asset markets," Journal of International Money and Finance, Elsevier, vol. 14(2), pages 191-211, April.
  25. Nicolas Coeurdacier & Robert Kollmann & Philippe Martin, 2009. "International portfolios, capital accumulation and foreign assets dynamics," Globalization and Monetary Policy Institute Working Paper 27, Federal Reserve Bank of Dallas.
  26. Alejandro Justiniano & Giorgio E. Primiceri, 2008. "The Time-Varying Volatility of Macroeconomic Fluctuations," American Economic Review, American Economic Association, vol. 98(3), pages 604-41, June.
  27. Robert Kollmann, 2008. "Comment on International prices and productivity: an empirical analysis of the transmission among OECD countries G. Corsetti, L. Dedola, S. Leduc)," ULB Institutional Repository 2013/13416, ULB -- Universite Libre de Bruxelles.
  28. Akito Matsumoto, 2007. "The Role of Nonseparable Utility and Nontradeables in International Business Cycle and Portfolio Choice," IMF Working Papers 07/163, International Monetary Fund.
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  34. Jeffrey D. Sachs, 1981. "The Current Account and macroeconomic Adjustment in the 1970s," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 12(1), pages 201-282.
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