Heterogeneity and Volatility Puzzles in International Finance

摘要：

We develop an equilibrium model in a two-country, two-good, pure exchange economy in which investors with logarithmic utility functions have heterogeneous beliefs about exogenously given output or endowment processes. We obtain closed-form representations of real exchange rate and of stock prices. We show that heterogeneous beliefs together with heterogeneous preferences make the volatility of real exchange rates and of stocks exhibit some properties that have been well documented in the empirical literature. These properties include the high volatility of both real exchange rates and stocks compared with that of economic fundamentals, the high correlation of stocks during periods of volatile markets. The model can also generate the clustering of the volatility of foreign exchange and stocks if the differences of beliefs are clustering.

关键词： International Finance Asset Pricing Exchange Rate Heterogeneous Beliefs Heterogeneous Preferences Excess Volatility Correlation of Stock Markets

作者: Tao Li Mark L. Muzere

作者单位: Department of Finance,Faculty of Business Administration,the Chinese University of Hong Kong,Shatin, Department of Finance,Sawyer Business School,Suffolk University,Boston,MA

会议类型: 国际会议

会议名称: 2008年中国金融国际年会

会议地点: 大连

会议语种:英文

页码: 1-42

在线出版日期: 2008-07-02（万方平台首次上网日期，不代表论文的发表时间）