Household Heterogeneity and Real Exchange Rates
Bibliographic Data
| ID | 9703862 |
|---|---|
| Authors | Narayana R Kocherlakota (University of Minnesota and Federal Reserve Bank of Minneapolis, Stanford University and CEPR), Narayana Kocherlakota (0000-0001-9253-8139, Federal Reserve Bank of Minneapolis), Luigi Pistaferri (University of Minnesota and Federal Reserve Bank of Minneapolis, Stanford University and CEPR) |
| Year | 2007 |
| Volume | 117 |
| Issue | 519 |
| Pages | C1-C25 |
| Publication date | 2007-03-01 |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | The Economic Journal (JOURNAL) |
| Journal identifiers | ISSN: 0013-0133 • E-ISSN: 1468-0297 |
| Publisher | Oxford University Press (OUP) (PUBLISHER) |
| DOI | 10.1111/j.1468-0297.2007.02032.x |
| OpenAlex | W2017632709 |
| Language | EN |
| Citations received | 2 |
| References cited | 15 |
We assume that individuals can fully insure themselves against cross-country shocks but not against individual-specific shocks. We consider two particular models of limited risk-sharing: domestically incomplete markets (DI) and private information-Pareto optimal (PIPO) risk-sharing. For each model, we derive a restriction relating the cross-sectional distributions of consumption and real exchange rates. We evaluate these restrictions using household-level consumption data from the US and the UK. We show that the PIPO restriction fits the data well when households have a coefficient of relative risk aversion of around 5. The restrictions implied by the complete risk-sharing model and the DI model fare poorly. Copyright 2007 The Author(s). Journal compilation Royal Economic Society 2007
Consumption (sociology · Econometrics · Economics · Exchange rate · Expected utility hypothesis · Financial economics · Microeconomics · Monetary economics · Pareto optimal · Pareto principle · Private consumption · Risk aversion (psychology · Set (abstract data type · Computer Science · Financial Literacy, Pension, Retirement Analysis · Housing Market and Economics · Monetary Policy and Economic Impact
Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
Measuring Poverty
Forward Exchange Rates as Optimal Predictors of Future Spot Rates
Is Consumption Growth Consistent with Intertemporal Optimization? Evidence from the Consumer Expenditure Survey
| Citations per year | 0.12 |
|---|---|
| Citation span | 2009 - 2021 (13) |
| Highly cited | No |