Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?
假设国内外投资者只能交易本国无风险利率，推导出不完全跨越模型下的汇率波动性、风险溢价和周期性度量，发现不完全跨越降低汇率波动、通过创造可预测性提高风险溢价，但不影响周期性。
We assume that domestic (foreign) agents, when investing abroad, can only trade in the foreign (domestic) risk-free rates. In a preference-free environment, we derive the exchange rate volatility and risk premia in any such incomplete spanning model, as well as a measure of exchange rate cyclicality. We find that incomplete spanning lowers the volatility of exchange rate, increases the risk premia but only by creating exchange rate predictability, and does not affect the exchange rate cyclicality.