12月26日经济系学术活动

讲座题目: Exchange Rates and Asset Prices in An Open Economy with Rare Disasters

讲座地点: 舜德楼101教室

讲座时间: 12月26日下午2:00-3:30 pm

郭凯现在是哈佛大学经济系的博士研究生，明年毕业，要讲的是他的job market 的论文，他的cv 和论文请见附件。论文摘要如下。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