Incomplete Consumption Risk Sharing and Currency Risk Premiums
研究跨国消费风险分担不完全如何影响外汇市场随时间变化的风险溢价及其截面差异，基于多国Constantinides和Duffie模型，发现消费增长率的跨国方差呈逆周期，有助于解释货币风险溢价。
This article studies the impact of imperfect consumption risk sharing across countries on the formation of time-varying risk premiums in the foreign exchange market and on their cross-sectional differences. These issues are addressed within the framework of the Constantinides and Duffie (1996) model applied to a multicountry world. The article shows that the cross-country variance of consumption growth rates is counter-cyclical and that this feature of consumption data is mildly helpful for currency pricing. In particular, unlike the standard CCAPM, the new model is able to generate currency risk premiums at lower values of risk aversion and provide certain explanatory power for cross-sectional differences in currency returns. Copyright 2003, Oxford University Press.