Asset Prices and Risk Sharing in Open Economies
构建了一个两国模型，通过外部习惯形成和偏好本土偏好的相互作用产生条件风险厌恶的跨国时变异质性，解释了国家间状态价格高度相关而消费增长相关性较低的现象，并匹配了汇率变化与消费增长率差异之间的经验脱节。
This paper proposes a two-country model that features time-varying heterogeneity in conditional risk aversion across countries, endogenously arising from the interaction between external habit formation and preference home bias. The model generates high international correlation of state prices along with modest cross-country consumption growth correlation and matches the empirical disconnect between exchange rate changes and consumption growth rate differentials. The key mechanism is endogenous time variation in conditional consumption growth volatility: the conditionally less risk averse country insures the more risk averse one, offsetting cross-country heterogeneity in conditional risk aversion and leading to significant international comovement in marginal utility growth. Received February 1, 2012; editorial decision April 19, 2016 by Editor Pietro Veronesi.