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Limited asset market participation and the consumption-real exchange rate anomaly

Citations

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Cited by:

  1. Gianluca Benigno & Hande Küçük, 2012. "Portfolio allocation and international risk sharing," Canadian Journal of Economics, Canadian Economics Association, vol. 45(2), pages 535-565, May.
  2. Hamano, Masashige, 2013. "The consumption-real exchange rate anomaly with extensive margins," Journal of International Money and Finance, Elsevier, vol. 36(C), pages 26-46.
  3. Devereux, Michael B. & Kollmann, Robert, 2012. "International Risk Sharing," MPRA Paper 70129, University Library of Munich, Germany.
  4. Cociuba, Simona E. & Ramanarayanan, Ananth, 2019. "International risk sharing with endogenously segmented asset markets," Journal of International Economics, Elsevier, vol. 117(C), pages 61-78.
  5. Hassan, Tarek A. & Mertens, Thomas M. & Zhang, Tony, 2016. "Not so disconnected: Exchange rates and the capital stock," Journal of International Economics, Elsevier, vol. 99(S1), pages 43-57.
  6. Albonico, Alice & Tirelli, Patrizio, 2020. "Financial crises and sudden stops: Was the European monetary union crisis different?," Economic Modelling, Elsevier, vol. 93(C), pages 13-26.
  7. Sutherland, Alan & Küçük, Hande, 2015. "International Risk Sharing and Portfolio Choice with Non-separable Preferences," CEPR Discussion Papers 10724, C.E.P.R. Discussion Papers.
  8. Viktoria Hnatkovska & Michael Devereux, 2011. "Consumption Risk Sharing, the Real Exchange Rate, and Borders: Why Does the Exchange Rate Make Such a Difference?," 2011 Meeting Papers 1027, Society for Economic Dynamics.
  9. Patrick Blagrave & Claudia Godbout & Justin-Damien Guénette & René Lalonde & Nikita Perevalov, 2020. "IMPACT: The Bank of Canada’s International Model for Projecting Activity," Technical Reports 116, Bank of Canada.
  10. Cao, Dan & Evans, Martin & Lua, Wenlan, 2020. "Real Exchange Rate Dynamics Beyond Business Cycles," MPRA Paper 99054, University Library of Munich, Germany, revised 10 Mar 2020.
  11. Emile A. Marin & Sanjay R. Singh, 2023. "Low Risk Sharing with Many Assets," Working Paper Series 2023-37, Federal Reserve Bank of San Francisco.
  12. Donadelli, Michael & Paradiso, Antonio, 2014. "Does financial integration affect real exchange rate volatility and cross-country equity market returns correlation?," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 206-220.
  13. Kollmann, Robert, 2015. "Risk Sharing in a World Economy with Uncertainty Shocks," CEPR Discussion Papers 10940, C.E.P.R. Discussion Papers.
  14. Devereux, Michael B. & Smith, Gregor W. & Yetman, James, 2012. "Consumption and real exchange rates in professional forecasts," Journal of International Economics, Elsevier, vol. 86(1), pages 33-42.
  15. Hassan, Ramin & Loualiche, Erik & Pecora, Alexandre R. & Ward, Colin, 2023. "International trade and the risk in bilateral exchange rates," Journal of Financial Economics, Elsevier, vol. 150(2).
  16. Islamaj, Ergys & Kose, M. Ayhan, 2016. "How does the sensitivity of consumption to income vary over time? International evidence," Journal of Economic Dynamics and Control, Elsevier, vol. 72(C), pages 169-179.
  17. Robert Kollmann, 2015. "Exchange Rate and Current Account Dynamics: the Role of Asset Market Structure, Long-Run Risk and Risk Appetite," 2015 Meeting Papers 1397, Society for Economic Dynamics.
  18. Robert Kollmann, 2015. "Exchange Rates Dynamics with Long-Run Risk and Recursive Preferences," Open Economies Review, Springer, vol. 26(2), pages 175-196, April.
  19. Andrea Raffo, 2008. "Technology Shocks: Novel Implications for International Business Cycles," 2008 Meeting Papers 511, Society for Economic Dynamics.
  20. Robert Kollmann, 2013. "Global Banks, Financial Shocks, and International Business Cycles: Evidence from an Estimated Model," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(s2), pages 159-195, December.
  21. Gao, Xiaodan & Hnatkovska, Viktoria & Marmer, Vadim, 2014. "Limited participation in international business cycle models: A formal evaluation," Journal of Economic Dynamics and Control, Elsevier, vol. 39(C), pages 255-272.
  22. Rouillard, Jean-François, 2018. "International risk sharing and financial shocks," Journal of International Money and Finance, Elsevier, vol. 82(C), pages 26-44.
  23. Weithing Zhang & Thomas Mertens & Tarek Hassan, 2014. "Currency Manipulation," 2014 Meeting Papers 401, Society for Economic Dynamics.
  24. Nicolas Coeurdacier & Hélène Rey, 2013. "Home Bias in Open Economy Financial Macroeconomics," Journal of Economic Literature, American Economic Association, vol. 51(1), pages 63-115, March.
  25. Kollmann, Robert, 2016. "International business cycles and risk sharing with uncertainty shocks and recursive preferences," Journal of Economic Dynamics and Control, Elsevier, vol. 72(C), pages 115-124.
  26. Lo Prete, Anna, 2013. "Sharing risk within and across countries: the role of labor market institutions," Economic Systems, Elsevier, vol. 37(3), pages 449-461.
  27. repec:spo:wpmain:info:hdl:2441/1shj1p7td8e0r5c9fcsnk8a91 is not listed on IDEAS
  28. Neri, Stefano & Nobili, Andrea & Conti, Antonio M., 2017. "Low inflation and monetary policy in the euro area," Working Paper Series 2005, European Central Bank.
  29. Caporale, Guglielmo Maria & Donadelli, Michael & Varani, Alessia, 2015. "International capital markets structure, preferences and puzzles: A “US–China World”," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 36(C), pages 85-99.
  30. Guglielmo Maria Caporale & Michael Donadelli & Alessia Varani, 2014. "International Capital Markets Structure, Preferences and Puzzles: The US-China Case," Discussion Papers of DIW Berlin 1362, DIW Berlin, German Institute for Economic Research.
  31. Oleg Itskhoki & Dmitry Mukhin, 2025. "What Drives the Exchange Rate?," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 73(1), pages 86-117, March.
  32. Malin Gardberg, 2022. "Financial reforms and low‐income households' impact on international consumption risk sharing," International Finance, Wiley Blackwell, vol. 25(3), pages 375-395, December.
  33. Tarek A Hassan & Thomas M Mertens & Tony Zhang, 2023. "A Risk-based Theory of Exchange Rate Stabilization," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 90(2), pages 879-911.
  34. Dmitriev, Alexandre, 2017. "Composite habits and international transmission of business cycles," Journal of Economic Dynamics and Control, Elsevier, vol. 76(C), pages 1-34.
  35. Asdrubali, Pierfederico & Kim, Soyoung & Pericoli, Filippo Maria & Poncela, Pilar, 2023. "Risk sharing channels in OECD countries: A heterogeneous panel VAR approach," Journal of International Money and Finance, Elsevier, vol. 131(C).
  36. repec:hal:spmain:info:hdl:2441/1shj1p7td8e0r5c9fcsnk8a91 is not listed on IDEAS
  37. Matthew Canzoneri & Robert Cumby & Behzad Diba, 2013. "Addressing International Empirical Puzzles: the Liquidity of Bonds," Open Economies Review, Springer, vol. 24(2), pages 197-215, April.
  38. Yongseung Jung, 2017. "Understanding the Real Exchange Rate and Consumption: Limited Asset Market Participation," Korean Economic Review, Korean Economic Association, vol. 33, pages 127-152.
  39. Chaban, Maxym, 2024. "Exchange rate dynamics and consumption of traded goods," Journal of Macroeconomics, Elsevier, vol. 80(C).
  40. Robert Kollmann, 2016. "Risk Sharing, the Exchange Rate and Net Foreign Assets in a World Economy with Uncertainty Shocks," 2016 Meeting Papers 721, Society for Economic Dynamics.
  41. Nicolas Coeurdacier, 2011. "Limited participation and International Risk-Sharing," 2011 Meeting Papers 613, Society for Economic Dynamics.
  42. Nicolas Coeurdacier & Hélène Rey, 2013. "Home Bias in Open Economy Financial Macroeconomics," SciencePo Working papers hal-03473901, HAL.
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