International Asset Returns and Exchange Rates

摘要：

We present a consumption-based international asset pricing model to study global equity premiums, the U.S. riskfree rate and the cross section of international asset returns. The model entails idiosyncratic, country-specific consumption risk, which helps explain the magnitude of global equity premiums. The model features country-specific habit formation, which helps explain the level of the interest rate on the U.S. short-term Treasury bills traded by domestic and international investors. The model takes into account real exchange rate uncertainty, which explain approximately twice as much the cross-sectional variation of the international stock and currency returns than other models under constant real exchange rates.

关键词： international asset pricing consumption-based model habit formation idiosyncratic risks equity premiums puzzle riskfree rate puzzle exchange rates inflation rates

作者: Yuming Li Maosen Zhong

作者单位: Department of Finance College of Business and Economics California State University,Fullerton Fuller Maosen Zhong UQ Business School The University of Queensland Brisbane,QLD 4072,Australia

会议类型: 国际会议

会议名称: 2007年中国国际金融年会

会议地点: 成都

会议语种:英文

在线出版日期: 2007-07-09（万方平台首次上网日期，不代表论文的发表时间）