International Asset Pricing with Recursive Preferences
研究了美国和英国数据中消费差异与汇率低相关以及高利率货币升值这两个异常现象随时间加剧的情况，并在包含递归偏好的两国两商品一般均衡模型中将其解释为规律。
ABSTRACT Focusing on data from the United States and the United Kingdom, we document that both the anomaly identified by Backus and Smith, which concerns the low correlation between consumption differentials and exchange rates, and the forward premium anomaly, which concerns the tendency of high interest rate currencies to appreciate, have become more severe over time. Taking into account different capital mobility regimes, we show that these anomalies turn into general equilibrium regularities in a two‐country and two‐good economy with Epstein and Zin preferences, frictionless markets, and correlated long‐run growth prospects.