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Is low international risk sharing consistent with a high equity premium ? a reconciliation of two puzzles.

Basu, P. and Wada, K. (2006) 'Is low international risk sharing consistent with a high equity premium ? a reconciliation of two puzzles.', Economics letters., 93 (3). pp. 436-442.

Abstract

In an incomplete market setting, we show that a pricing kernel exists, which reconciles the observed smooth real exchange rates with high domestic equity premium and low international risk sharing. The estimation results based on the US–Japanese data provide plausible estimates of the deep parameters.

Item Type:Article
Keywords:Equity premium, International risk sharing, C-D discount factor.
Full text:Full text not available from this repository.
Publisher Web site:http://dx.doi.org/10.1016/j.econlet.2006.06.018
Record Created:20 Feb 2009
Last Modified:03 Mar 2010 15:32

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