This paper analyzes the dynamics of risk premia, real exchange rates and portfolio movements in a two-country, two … it is subject to trend shocks and it is more risk averse. We find that the trend shocks produce strong wealth effects for …, our model can endogenously generate large portfolio holdings. And differences in the risk aversion across countries lead …

This paper analyzes the dynamics of risk premia, real exchange rates and portfolio movements in a two-country, two … it is subject to trend shocks and it is more risk averse. We find that the trend shocks produce strong wealth effects for …, our model can endogenously generate large portfolio holdings. And differences in the risk aversion across countries lead …

I study the constrained efficient allocations of a simple model of risk sharing and capital flows across countries … assuming that each country cannot commit to fully repay its contract obligations. In the model, the degree of risk sharing and …

baseline model with alternative domestic and foreign variables, such as global financial risk, and considering alternative …