| dc.contributor.author | Lustig, Hanno | |
| dc.contributor.author | Verdelhan, Adrien | |
| dc.date.accessioned | 2021-10-27T20:35:45Z | |
| dc.date.available | 2021-10-27T20:35:45Z | |
| dc.date.issued | 2019 | |
| dc.identifier.uri | https://hdl.handle.net/1721.1/136514 | |
| dc.description.abstract | © 2019 American Economic Association. All rights reserved. We assume that domestic ( foreign) agents, when investing abroad, can only trade in the foreign (domestic) risk- free rates. In a preference-free environment, we derive the exchange rate volatility and risk premia in any such incomplete spanning model, as well as a measure of exchange rate cyclicality. We find that incomplete spanning lowers the volatility of exchange rate, increases the risk premia but only by creating exchange rate predictability, and does not affect the exchange rate cyclicality. | |
| dc.language.iso | en | |
| dc.publisher | American Economic Association | |
| dc.relation.isversionof | 10.1257/AER.20160409 | |
| dc.rights | Article is made available in accordance with the publisher's policy and may be subject to US copyright law. Please refer to the publisher's site for terms of use. | |
| dc.source | American Economic Association | |
| dc.title | Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates? | |
| dc.type | Article | |
| dc.contributor.department | Sloan School of Management | |
| dc.relation.journal | American Economic Review | |
| dc.eprint.version | Final published version | |
| dc.type.uri | http://purl.org/eprint/type/JournalArticle | |
| eprint.status | http://purl.org/eprint/status/PeerReviewed | |
| dc.date.updated | 2021-03-26T18:38:26Z | |
| dspace.orderedauthors | Lustig, H; Verdelhan, A | |
| dspace.date.submission | 2021-03-26T18:38:27Z | |
| mit.journal.volume | 109 | |
| mit.journal.issue | 6 | |
| mit.license | PUBLISHER_POLICY | |
| mit.metadata.status | Authority Work and Publication Information Needed | |
