12月26日經濟系學術活動
講座題目: Exchange Rates and Asset Prices in An Open Economy with Rare Disasters
講座地點: 舜德樓101教室
講座時間: 12月26日下午2:00-3:30 pm
郭凱現在是哈佛大學經濟系的博士研究生,明年畢業,要講的是他的job market 的論文,他的cv 和論文請見附件。論文摘要如下。Abstract: By introducing rare but severe disasters into an otherwise
standard open-economy general equilibrium model and allowing the
disaster probability to be both time-varying and mean-reverting,
several macroeconomics, finance and international finance puzzles can
be explained in a single model. The puzzles include the equity premium
puzzle, the risk-free rate puzzle, the forward discount puzzle, the
excess volatility puzzle and the volatility mismatch puzzle. A
mean-reverting disaster probability also generates return
predictability and the leverage effect in the stock market. The model,
when calibrated with plausible parameter values, can replicate many
salient features in the stock price and exchange rate data. The model
maintains good tractability by having a representative agent,
timeadditive and isoelastic preferences and complete markets.
Closed-form solutions can be obtained under certain conditions.
Finally, the asset pricing implications of rare disasters under the
Epstein-Zin-Weil preferences are studied. Besides explaining several
above puzzles, a novel implication is that higher
returns in the Home stock market relative to the Foreign stock market
are associated with a Home currency depreciation, a stock market
version of the uncovered interest parity condition which is consistent
with empirical findings.
附件:1.Guo.pdf 2.CV.pdf