Asset Prices and Real Exchange Rates with Deep Habits
在包含多种消费品和多个国家的国际均衡模型中引入深度习惯，发现其与消费本土偏好结合能解释资产定价和汇率的多种特征，并复现了货币风险溢价的截面证据。
I introduce an external habit for each consumption good, known as deep habits, into an otherwise standard international equilibrium model with multiple consumption goods and multiple countries. I show that deep habits coupled with consumption home bias account for a wide range of asset pricing and exchange rate moments. Calibrated to a set of ten countries, the model reproduces the cross-sectional evidence on currency risk premiums when sorting on interest rates, interest rate volatility, innovations to global exchange rate volatility, and value. Hence, the model provides an equilibrium interpretation of these empirical regularities.