Research Output per year
We show that a flex-price two-sector open economy DSGE model can explain the poor degree of international risk sharing and exchange rate disconnect. We use a suite of model evaluation measures and examine the role of (1) traded and non-traded sectors; (2) financial market incompleteness; (3) preference shocks; (4) deviations from UIP condition for the exchange rates; and (5) creditor status in net foreign assets. We find that there is a good case for both traded and non-traded productivity shocks as well as UIP deviations in explaining the puzzles.
2008, St. Andrews: Centre for Dynamic Macroeconomic Analysis, 55 p. (CDMA Working Paper Series; no. CDMA08/08).
Research output: Working paper
2008, St. Andrews: Scottish Institute for Research in Economics , 56 p. (SIRE Discussion Papers; no. 2008-53).
Research output: Working paper › Discussion paper
Bhattacharjee, A., Chadha, J. S., & Sun, Q. (2010). Productivity, preferences and UIP deviations in an open economy business cycle model. Open Economies Review, 21(3), 365-391. https://doi.org/10.1007/s11079-010-9174-0