@techreport{0fae93d3c4f5455286bc8eb63f4df5e3,
title = "Productivity, Preferences and UIP deviations in an Open Economy Business Cycle Model",
abstract = "We show that a {\^a}€¡ex-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 (i) traded and non-traded sectors; (ii) financial market incompleteness; (iii) preference shocks; (iv) deviations from UIP condition for the exchange rates; and (v) 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.",
keywords = "current account dynamics, real exchange rates, incomplete markets, financial frictions",
author = "Arnab Bhattacharjee and Chadha, {Jagjit S.} and Qi Sun",
year = "2008",
language = "English",
series = "CDMA Working Paper Series",
publisher = "Centre for Dynamic Macroeconomic Analysis",
number = "CDMA08/08",
type = "WorkingPaper",
institution = "Centre for Dynamic Macroeconomic Analysis",
}