Exchange rates dynamics with long-run risk and recursive preferences

DOI10.1007/s11079-014-9337-5zbMath1412.91171OpenAlexW3124812862MaRDI QIDQ2416112

Robert Kollmann

Publication date: 23 May 2019

Published in: Open Economies Review (Search for Journal in Brave)

Full work available at URL: http://www.dallasfed.org/assets/documents/institute/wpapers/2014/0212.pdf

zbMATH Keywords

exchange ratefinancial frictionsrecursive preferencesinternational risk sharinglong-run riskcomplete financial markets

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64)

Related Items

Composite habits and international transmission of business cycles ⋮ How does the sensitivity of consumption to income vary over time? International evidence ⋮ Explaining international business cycle synchronization: recursive preferences and the terms of trade channel ⋮ Risk aversion heterogeneity and the investment-uncertainty relationship

Uses Software

• Dynare

Cites Work

• Incomplete asset markets and the cross-country consumption correlation puzzle
• Calculating and using second-order accurate solutions of discrete time dynamic equilibrium models
• Global Implications of Self-Oriented National Monetary Rules
• The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• Business Cycles and the Asset Structure of Foreign Trade