Autor(es)

Ferreira, Alex ^[1] ; Matos, Paulo ^[2]

Afiliação do(s) autor(es)

^[1] Univ Sao Paulo, Dept Econ, Av Bandeirantes 3900, Ribeirao Preto, SP - Brazil

^[2] Univ Fed Ceara, Dept Econ, Av Univ 2760, Fortaleza, Ceara - Brazil

• Tipo de documento: Artigo Científico
• Fonte: INTERNATIONAL REVIEW OF ECONOMICS & FINANCE; v. 70, p. 154-167, NOV 2020.
• Citações Web of Science: 0

Resumo

Our empirical investigation reveals that the variance of foreign consumption is much higher than the variance of domestic consumption growth for the domestic United States of America (US) resident. We show that precautionary savings in foreign currency arise because of this volatility differential between domestic and imported consumption growth. These open economy stochastic discount factors are later shown to be strongly positively correlated with the US business cycle. We present evidence that the precautionary currency risk must be seen through the lens of an open economy model rather than the traditional durable/non-durable closed economy separation. (AU)

• Processo FAPESP: 12/11720-1 - Risco de câmbio e custos de transação no mercado de títulos do tesouro brasileiro
• Beneficiário: Alex Luiz Ferreira
• Modalidade de apoio: Bolsas no Exterior - Pesquisa