International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth

By Michael W. Brandt, John H. Cochrane, Pedro Santa-clara. 2001

244 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/b18e8785f7a1e3f26d3892457292e2ba7a566528

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Citations in the corpus

A Habit-Based Explanation of the Exchange Rate Risk Premium (2010, unknown): “Taking into account the low correlation among consumption shocks across countries, and thus the low correlation of stochastic discount factors, Brandt et al. (2006) show that the actual exchange rate is much smoother than the theoretical one implied by asset pricing models.26 The same tension is…”
Growth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidence (2012, unknown): “Hence, the estimation algorithm may be “forced” (1)See Campbell and Cochrane (1999), Barro (2006) and Constantinides and Duffie (1996) for influential asset pricing models based on these features.”
The Share of Systematic Variation in Bilateral Exchange Rates (2018, background): “As a result, the model solves the Backus and Smith (1993) and Brandt, Cochrane, and Santa-Clara (2006) puzzle: pricing kernels are volatile and equity risk premia are high, yet exchange rates are as volatile as in the data.”
Stochastic Risk Premiums, Stochastic Skewness in Currency Options, and Stochastic Discount Factors in International Economies (2008, methodology): “In this paper, we advocate the use of currency and its options in studying the joint dynamics of stochastic discount factors in international economies, a direction also explored in Brandt and Santa-Clara (2002) and Brandt, Cochrane, and Santa-Clara (2006).”
Simulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets (2002, unknown): “Brandt et al. (2001) further explore the link between SDFs and the exchange rate.”
Asset Prices and Exchange Rates (2007, unknown): “exchange rates are Stulz (1987), Brandt, Cochrane, and Santa-Clara (2006) , and Hau and Rey (2006).”
Risks for the Long Run and the Real Exchange Rate (2011, unknown): “—Data are quarterly real per capita and are from 1971:01 to 1998:04, as in Brandt et al. (2006).”
Countercyclical Currency Risk Premia (2013, unknown): “As a consequence, in our calibration the pricing kernels are also highly correlated across countries at 0.99 on average as exchange rates are fairly smooth relative to the SDFs (cf. Brandt et al., 2006).”