| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12971 |
| DP12971 Model-Free International Stochastic Discount Factors | |
| Fabio Trojani; Andrea Vedolin | |
| 发表日期 | 2018-06-04 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | We provide a theoretical characterization of international stochastic discount factors (SDFs) in incomplete markets under different degrees of market segmentation. Using 40 years of data on a cross-section of countries, we estimate model-free SDFs and factorize them into permanent and transitory components. We find that large permanent SDF components help to reconcile the low exchange rate volatility, the exchange rate cyclicality, and the forward premium anomaly. However, integrated markets entail highly volatile and almost perfectly comoving international SDFs. In contrast, segmented markets can generate less volatile and more dissimilar SDFs. In quest of relating the SDFs to economic fundamentals, we document strong links between proxies of financial intermediaries’ risk-bearing capacity and model-free international SDFs. We interpret this evidence through the lens of an economy with two building blocks: limited participation by households and financiers who face an intermediation friction. |
| 主题 | Financial Economics |
| 关键词 | Stochastic discount factor Exchange rates Market segmentation Market incompleteness Financial intermediaries |
| URL | https://cepr.org/publications/dp12971 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/541779 |
| 推荐引用方式 GB/T 7714 | Fabio Trojani,Andrea Vedolin. DP12971 Model-Free International Stochastic Discount Factors. 2018. |
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