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Asset Prices and Real Exchange Rates with Deep Habits

Heyerdahl-Larsen, Christian - ;

I introduce an external habit for each consumption good, known as deep habits, into an otherwise standard international equilibrium model with multiple consumption goods and multiple countries. I show that deep habits coupled with consumption home bias account for a wide range of asset pricing and exchange rate moments. Calibrated to a set of ten countries, the model reproduces the cross-sectional evidence on currency risk premiums when sorting on interest rates, interest rate volatility, innovations to global exchange rate volatility, and value. Hence, the model provides an equilibrium interpretation of these empirical regularities..Printed Journal


Ketersediaan

Call NumberLocationAvailable
RFS2711PSB lt.dasar - Pascasarjana1
PenerbitOxford: Oxford University Press
Edisi-
Subjek-
ISBN/ISSN8939454
Klasifikasi-
Deskripsi Fisik-
Info Detail Spesifik-
Other Version/RelatedTidak tersedia versi lain
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