Household Heterogeneity and Real Exchange Rates
研究家庭层面的风险分担不完全性如何影响实际汇率，利用美国和英国家庭消费数据检验了两种有限风险分担模型，发现私人信息帕累托最优模型在风险厌恶系数约为5时拟合良好。
We assume that individuals can fully insure themselves against cross-country shocks but not against individual-specific shocks. We consider two particular models of limited risk-sharing: domestically incomplete markets (DI) and private information-Pareto optimal (PIPO) risk-sharing. For each model, we derive a restriction relating the cross-sectional distributions of consumption and real exchange rates. We evaluate these restrictions using household-level consumption data from the US and the UK. We show that the PIPO restriction fits the data well when households have a coefficient of relative risk aversion of around 5. The restrictions implied by the complete risk-sharing model and the DI model fare poorly. Copyright 2007 The Author(s). Journal compilation Royal Economic Society 2007.