Time-varying international diversification and the forward premium

This paper reproduces the slope of the uncovered interest rate parity (UIP) regression for ten country pairs within one standard deviation under rational expectations. We propose an infinite horizon dynamic stochastic general equilibrium model with incomplete markets. Heterogeneous investors experience varying risk aversion as a result of habit formation.

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Year of publication:	2014
Authors:	Jonen, Benjamin ; Scheuring, Simon
Published in:	Journal of International Money and Finance. - Elsevier, ISSN 0261-5606. - Vol. 40.2014, C, p. 128-148
Publisher:	Elsevier
Subject:	Forward premium \| Habits \| International diversification

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011048526