International Asset Pricing with Recursive Preferences

204 citations recorded by the source corpus.

Citations in the corpus

Forward and Spot Exchange Rates in a Multi-Currency World* (2018, unknown): “…(2016), and Ready, Roussanov, and Ward (2017).6 Another strand of the literature has connected persistent currency risk premia with shocks that are themselves persistent, as in Engel and West (2005), Colacito and Croce (2011, 2013), Gourio, Siemer, and Verdelhan (2013), and Colacito et al. (2017).”
Exchange Rate Disconnect in General Equilibrium (2017, unknown): “Long-run risk shocks in Colacito and Croce (2013) operate in a similar way, yet have an additional risk premia e ects in (39).”
Variance Risk Premiums and the Forward Premium Puzzle (2012, unknown): “12 We maintain the affine nature of the model by assuming Gl,tG ′ l,t = hσl +Hσlσ 2 l,t +Hqqt, and Gw,tG ′ w,t = hσw + (12)The model in Colacito and Croce (2012) also builds on the relevance of the preference specification of Epstein and Zin (1989), and Weil (1990), and the assumption of correlated ”
Currency Premia and Global Imbalances (2016, unknown): “In this case, since currency portfolio returns have di¤erent variances and may be correlated, the optimal weighting matrix will attach more weight to linear combinations of moments about which the data are more informative (Cochrane, 2005).”