Currency Risk Factors in a Recursive Multicountry Economy
Focusing on the 10 most traded currencies, we provide empirical evidence regarding a significant heterogeneous exposure to global growth news shocks. We incorporate this empirical fact in a frictionless risk-sharing model with recursive preferences, multiple countries, and multiple consumption goods...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Blackwell Publishing Ltd
2018
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| Online Access: | View Fulltext in Publisher |