On the Asset Market View of Exchange Rates

Previous versions of this paper were entitled “Exchange Rates and International Risk Sharing” and “Exchange Rate Determination, Risk Sharing, and the Asset Market View.” We thank three anonymous referees, Hengjie Ai, Andrew Ang, Snehal Banerjee, Martin Bodenstein, John Cochrane, Bernard Dumas, Martin Eichenbaum, Martin Evans, Nir Jaimovich, Jonathan Parker, Uday Rajan, Sergio Rebelo, Lucio Sarno, Raj Singh, Gabriel Talmain, Giorgio Valente, Jules Van Binsbergen, seminar participants at Cass Business School, Duke University, Essex Business School, the Federal Reserve Board, and the University of Michigan, and conference participants at Northwestern University, the University of Glasgow, the University of Minnesota, Oxford University, the Chicago Fed, Queen's University, the American Finance Association meetings in San Diego, the NBER Summer Institute Asset Pricing meeting, and the NBER International Finance and Macroeconomics meeting for helpful comments and conversations. Any errors or omissions are our own. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

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