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Participation limitée au marché des actifs et anomalie dans la corrélation entre la consommation relative et le taux de change réel .
Author(s) -
Kollmann Robert
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.1540-5982.2012.01705.x
Subject(s) - exchange rate , consumption (sociology) , economics , uncorrelated , econometrics , monetary economics , interest rate parity , financial market , volatility (finance) , asset (computer security) , foreign exchange market , financial economics , finance , statistics , sociology , computer science , social science , mathematics , computer security
Abstract Under efficient consumption risk sharing, as assumed in standard international business cycle models, a country's aggregate consumption rises relative to foreign consumption, when the country's real exchange rate depreciates. Yet empirically, relative consumption and the real exchange rate are essentially uncorrelated. This paper shows that this ‘consumption‐real exchange rate anomaly’ can be explained by a simple model in which a subset of households trade in complete financial markets, while the remaining households lead hand‐to‐mouth (HTM) lives. HTM behaviour also generates greater volatility of the real exchange rate and of net exports, which likewise brings the model closer to the data.