Premium
Allocation optimale du portefeuille et partage international du risque .
Author(s) -
Benigno Gianluca,
Küçük Hande
Publication year - 2012
Publication title -
canadian journal of economics/revue canadienne d'économique
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.773
H-Index - 69
eISSN - 1540-5982
pISSN - 0008-4085
DOI - 10.1111/j.1540-5982.2012.01703.x
Subject(s) - bond , consumption (sociology) , economics , portfolio , exchange rate , benchmark (surveying) , monetary economics , asset allocation , financial market , monetary policy , asset (computer security) , international finance , econometrics , financial economics , finance , computer science , social science , sociology , computer security , geodesy , geography
We show that recent explanations of the consumption‐real exchange rate anomaly that rely on goods and financial market frictions are not robust to introducing just one additional international asset. When portfolios are selected optimally, international trade in two nominal bonds implies a consumption‐real exchange rate correlation that is too high compared with the data even when there are many shocks. Monetary policy specification plays a potentially important role for the degree of risk sharing provided by nominal bonds, both in the benchmark model with only tradable and non‐tradable sector supply shocks and also in the model that allows for news.