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The private memory of aggregate shocks
(Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2010-07-10)
We study constrained efficient aggregate risk sharing and its consequence for the behavior of macro-aggregates in a dynamic Mirrlees’s (1971) setting. Privately observed idiosyncratic productivity shocks are assumed to be ...
Can a habit formation model really explain the forward premium anomaly?
(Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2009-05-12)
Verdelhan (2009) shows that if one is to explain the foreign exchange forward premium behavior using Campbell and Cochrane (1999)’s habit formation model one must specify it in such a way to generate pro-cyclical short ...