Professor Parantap Basu parantap.basu@durham.ac.uk
Professor
Is low international risk sharing consistent with a high equity premium? A reconciliation of two puzzles
Basu, P; Wada, K.
Authors
K. Wada
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.
Citation
Basu, P., & Wada, K. (2006). Is low international risk sharing consistent with a high equity premium? A reconciliation of two puzzles. Economics Letters, 93(3), 436-442. https://doi.org/10.1016/j.econlet.2006.06.018
| Journal Article Type | Article |
|---|---|
| Publication Date | Dec 1, 2006 |
| Deposit Date | Feb 20, 2009 |
| Journal | Economics Letters |
| Print ISSN | 0165-1765 |
| Publisher | Elsevier |
| Peer Reviewed | Peer Reviewed |
| Volume | 93 |
| Issue | 3 |
| Pages | 436-442 |
| DOI | https://doi.org/10.1016/j.econlet.2006.06.018 |
| Keywords | Equity premium, International risk sharing, C-D discount factor. |
| Public URL | https://durham-repository.worktribe.com/output/1554757 |
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