Heterogeneity and Volatility Puzzles in International Finance
构建一个两国两商品纯交换经济模型，发现投资者异质性信念与偏好能解释汇率和股票的高波动性、波动聚集等实证特征，对理解金融市场波动谜题有参考价值。
Abstract We develop an equilibrium model in a 2-country, 2-good, pure exchange economy in which investors with logarithmic utility functions have heterogeneous beliefs about exogenously given output or endowment processes. We obtain closed-form representations of real exchange rates and of stock prices. We show that heterogeneous beliefs together with heterogeneous preferences make the volatility of real exchange rates and of stocks exhibit some properties that have been well documented in the empirical literature. These properties include the high volatility of both real exchange rates and stocks compared with that of economic fundamentals, the high correlation of stocks during periods of volatile markets. The model can also generate the clustering of the volatility of foreign exchange rates and stocks if the differences of beliefs are clustering.