An Intermediation-Based Model of Exchange Rates
构建了一个包含金融中介的连续时间一般均衡模型，分析中介的市场势力如何扭曲国际资产价格、影响汇率动态，并解释未抛补和抛补利率平价偏离等汇率谜题。
Abstract We develop a continuous-time general equilibrium model with intermediaries at the heart of international financial markets. Global intermediaries bargain with households and extract rents from providing access to foreign claims. By tilting state prices, intermediaries’ market power breaks monetary neutrality and makes international risk-sharing inefficient. Despite having zero net positions, markups charged by intermediaries significantly distort international asset prices, affecting exchange rate dynamics and their response to shocks. Our model can reproduce patterns consistent with several well-known exchange rate puzzles, such as deviations from uncovered and covered interest parity. All equilibrium quantities are derived in closed form, allowing us to pin down the underlying economic mechanisms explicitly.