Time-Varying Risk, Interest Rates, and Exchange Rates in General Equilibrium
发现时变风险是导致货币计价债券名义利差的主要因素，并构建了一个包含内生资产市场分割的一般均衡货币模型，解释了实际利率和汇率的关键特征。
Time-varying risk is the primary force driving nominal interest rate differentials on currencydenominated bonds. This finding is an immediate implication of the fact that exchange rates are roughly random walks. We show that a general equilibrium monetary model with an endogenous source of risk variation–a variable degree of asset market segmentation–can produce key features of actual interest rates and exchange rates. The endogenous segmentation arises from a fixed cost for agents to exchange money for assets. As inflation varies, the benefit ofassetmarketparticipation varies, and that changes the fraction of agents participating. These effects lead the risk premium to vary systematically with the level of inflation. Our model produces variation in the risk premium even though the fundamental shocks have constant conditional variances.