International Risk Cycles

Description

International Risk Cycles Franc¸ois Gourio∗ Michael Siemer† Adrien Verdelhan‡ August 2010 Abstract This paper presents a two-country real business cycle model with two novel features: (1) exogenous shocks to worldwide uncertainty, (2) heterogeneous exposures to the world aggregate shock. We show that these two features lead to significant progress in tackling internationational finance puzzles. When world risk increases, investment decreases and a worldwide recession follows, even in the absence of technology shocks.

• mean 2.69 2.76 3.95 6.57 std 5.62 7.55 7.31 10.24 sr
• -0.47 2.22 2.29 3.48 6.10 std 11.63 10.65 10.30 11.00 11.39 sr
• -2.12 0.23 1.63 3.33 14.72 std
• international macroeconomics
• equity markets
• volatility
• macroeconomic aggregates
• currency
• risk
• model

Sujets

• MIT Sloan School of Management
• Finance minister
• Eastern Province
• Volatile
• Currency
• International
• Equity
• Macroeconomics

Informations

• Publié par: hulod
• Nombre de lectures: 18
• Langue: English

Extrait

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