2013年7月20日土曜日
2013年7月5日金曜日
International Equity Premium Puzzle
Colacito and Croce (2010) "Risks For The Long Run And The Real Exchange Rate"
<quote>
i) risk aversion has to be large to reconcile the low volatility of consumption growth rates with highly volatile stochastic discount factors (see equity premium puzzle)
ii) consumption is poorly correlated across countries at annual or higher frequencies
<unquote>
International Equity Premium Puzzle
Since Δe = m* - m ⇨ V(Δe) = V(m*) + V(m) - 2Cov(m*,m), if Cov(m*,m) is small as is observed in the data (consumption correlation), the volatility of exchange rate in the data is too small (V(m*) and V(m) are large).
<quote>
i) risk aversion has to be large to reconcile the low volatility of consumption growth rates with highly volatile stochastic discount factors (see equity premium puzzle)
ii) consumption is poorly correlated across countries at annual or higher frequencies
<unquote>
International Equity Premium Puzzle
Since Δe = m* - m ⇨ V(Δe) = V(m*) + V(m) - 2Cov(m*,m), if Cov(m*,m) is small as is observed in the data (consumption correlation), the volatility of exchange rate in the data is too small (V(m*) and V(m) are large).
2013年7月4日木曜日
Feldstein-Horioka Pazzle
The national saving rate is highly correlated with its domestic investment rate, which is not supported by the standard economic theory assuming open international financial economy.
Baxter and Crucini (1993) "Explaining Saving Investment Correlations"
"Saving-investment correlations are higher for larger countries."
COUNTRY SIZE AND SAVING-INVESTMENT CORRELATIONS
Country GNP(1985 U.S. $) S-I correlation
United States 3,994 0.86
Japan 1,365 0.80
Germany 667 0.68
France 527 0.31
Italy 372 0.39
Canada 347 0.61
Australia 171 0.54
Switzerland 106 0.65
Baxter and Crucini (1993) "Explaining Saving Investment Correlations"
"Saving-investment correlations are higher for larger countries."
COUNTRY SIZE AND SAVING-INVESTMENT CORRELATIONS
Country GNP(1985 U.S. $) S-I correlation
United States 3,994 0.86
Japan 1,365 0.80
Germany 667 0.68
France 527 0.31
Italy 372 0.39
Canada 347 0.61
Australia 171 0.54
Switzerland 106 0.65
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