Risks for the Long Run and the Real Exchange Rate
提出了一个结合跨国长期风险和Epstein-Zin偏好的均衡模型，用美英数据解释了国际股市高相关性、国际权益溢价谜题等，并揭示长期增长预期与汇率变动的联系。
We propose an equilibrium model that can explain a wide range of international finance puzzles, including the high correlation of international stock markets despite the lack of correlation of fundamentals. We conduct an empirical analysis of our model, which combines cross-country-correlated long-run risk with Epstein and Zin (1989) preferences, using US and UK data and show that it successfully reconciles international prices and quantities, thereby solving the international equity premium puzzle. These results provide evidence suggesting a link between common long-run growth perspectives and exchange rate movements.