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International Consumption Risk Is Shared After All
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Book Synopsis International Consumption Risk is Shared After All by : Karen K. Lewis
Download or read book International Consumption Risk is Shared After All written by Karen K. Lewis and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: International consumption risk sharing studies have largely ignored their models' counterfactual implications for asset returns although these returns incorporate direct market measures of risk. In this paper, we modify a canonical risk-sharing model to generate more plausible asset return behavior and then consider the effects on welfare gains. Matching the mean and variance of equity returns and the risk-free rate requires persistent consumption risk, leading to three main findings: (1) risk-sharing gains decrease as the ability to diversify persistent consumption risk decreases; (2) the international correlation of equity returns is high relative to the correlation of consumption and dividends, implying low diversification potential for persistent consumption risk; and (3) increasing persistent consumption risk reduces the gains. Taken together, our findings suggest that asset returns imply more international risk sharing than previously thought.
Book Synopsis International Consumption Risk is Shared After Al : an Asset Return View by : Karen K. Lewis
Download or read book International Consumption Risk is Shared After Al : an Asset Return View written by Karen K. Lewis and published by . This book was released on 2012 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Cross-country Consumption Risk Sharing, a Long-run Perspective by : Mr.Zhaogang Qiao
Download or read book Cross-country Consumption Risk Sharing, a Long-run Perspective written by Mr.Zhaogang Qiao and published by International Monetary Fund. This book was released on 2010-03-01 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper estimates an empirical nonstationary panel regression model that tests long-run consumption risk sharing across a sample of OECD and emerging market (EM) countries. This is in contrast to the existing literature on consumption risk sharing, which is mainly about risks at business cycle frequency. Since our methodology focuses on identifying cointegrating relationships while allowing for arbitrary short-run dynamics, we can obtain a consistent estimate of long-run risk sharing while disregarding any short-run nuisance factors. Our results show that long-run risk sharing in OECD countries increased more than that in EM countries during the past two decades.
Book Synopsis Determinants of International Consumption Risk Sharing in Developing Countries by : Malin Gardberg
Download or read book Determinants of International Consumption Risk Sharing in Developing Countries written by Malin Gardberg and published by . This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Complete financial markets allow countries to share their consumption risks internationally, thereby creating welfare gains through lower volatility of aggregate consumption. This paper empirically looks at international consumption risk sharing and its determinants in a panel of 120 countries from 1970 to 2014. Contrary to some previous studies, I show that financial liberalization and financial integration has a significantly positive impact on international consumption risk sharing in poorer developing countries, whereas in emerging market countries only capital account openness has an impact. Moreover, there is some evidence that high income inequality or a high share of low income individuals reduces consumption smoothing in less developed countries. Lack of financial reforms, a lower degree of financial integration and higher inequality can thus partly explain why the degree of risk sharing is lower in developing countries than in advanced economies.
Book Synopsis International Consumption Risk Sharing by : Fabio Canova
Download or read book International Consumption Risk Sharing written by Fabio Canova and published by . This book was released on 1993 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis What Can Explain the Apparent Lack of International Consumption Risk Sharing? by : Karen K. Lewis
Download or read book What Can Explain the Apparent Lack of International Consumption Risk Sharing? written by Karen K. Lewis and published by . This book was released on 1995 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent research in international business cycles based upon complete markets has found that international consumption correlations are lower than predicted by the standard risk-sharing implications of these models. In this paper, I use regression tests to ask whether two different types of explanations can help explain this result. First, I consider whether non-separabilities between tradeables and non-tradeable leisure or goods can explain the puzzle. Surprisingly, non-separabilities explain only a tiny fraction of the variation in tradeables consumption across countries. Furthermore, risk-sharing in tradeables is rejected. Second, I examine the effects of capital market restrictions on aggregate consumption risk-sharing by countries. While rejections of risk-sharing are stronger for countries facing more severe capital market restrictions, risk-sharing is still rejected for the unrestricted group of countries. Therefore, risk-sharing does not appear to be resolved by either explanation alone. However, when I allow for both non-separabilities and certain market restrictions, risk-sharing among unrestricted countries is not rejected. This evidence suggests that a combination of these two effects may be necessary to explain consumption risk-sharing across countries.
Book Synopsis Assessing the Degree of International Consumption Risk Sharing by : Constantino Hevia
Download or read book Assessing the Degree of International Consumption Risk Sharing written by Constantino Hevia and published by . This book was released on 2016 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the extent of consumption risk sharing for a group of 50 high-income and developing countries. The analysis is based on the empirical implementation of a model of partial consumption insurance whose parameters have the natural interpretation of coefficients of partial risk sharing even when the 0 hypothesis of perfect risk sharing is rejected. The estimation results show that high-income countries exhibit higher degrees of risk sharing than developing countries, and that the gap between the two country groups appears to have widened over the period of financial globalization. Moreover, the pattern of consumption risk sharing is related to the degree of financial openness: countries with more open capital accounts, and larger stocks of foreign assets and liabilities exhibit larger degrees of risk sharing. Yet, larger countries in terms of gross domestic product show lower degrees of consumption risk sharing.
Book Synopsis International Risk Sharing During the Globalization Era by : Mr.Akito Matsumoto
Download or read book International Risk Sharing During the Globalization Era written by Mr.Akito Matsumoto and published by International Monetary Fund. This book was released on 2009-09-01 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: Though theory suggests financial globalization should improve international risk sharing, empirical support has been limited. We develop a simple welfare-based measure that captures how far countries are from the ideal of perfect risk sharing. We then take it to data and find international risk sharing has, indeed, improved during globalization. Improved risk sharing comes mostly from the convergence in rates of consumption growth among countries rather than from synchronization of consumption at the business cycle frequency. Our finding explains why many existing measures fail to detect improved risk sharing-they focus only on risk sharing at the business cycle frequency.
Book Synopsis Financial Integration and International Consumption Risk Sharing by : Narada Luckanachai
Download or read book Financial Integration and International Consumption Risk Sharing written by Narada Luckanachai and published by . This book was released on 2009 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on International Consumption Risk Sharing in the Presence of Incomplete Markets and Heterogeneous Preferences by : Geun Mee Ahn
Download or read book Essays on International Consumption Risk Sharing in the Presence of Incomplete Markets and Heterogeneous Preferences written by Geun Mee Ahn and published by . This book was released on 2003 with total page 126 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Research Note on "international Consumption Risk Sharing with Incomplete Goods and Asset Markets" by : Sven Blank
Download or read book Research Note on "international Consumption Risk Sharing with Incomplete Goods and Asset Markets" written by Sven Blank and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Perfect risk sharing requires both, frictionless goods as well as frictionless asset markets. To analyze the consequences of both type of frictions for consumption risk sharing across countries, the model by Ghironi and Melitz (2005) is extended to allow for international trade in equities. The model features fixed costs of exporting as well as variables iceberg costs when shipping goods. Financial markets are incomplete, as only two assets are traded, which cannot span all the uncertainty caused by potential shock scenarios. In models with incomplete asset markets, two well known problems arise. First, the steady state portfolio allocation in a non-stochastic steady state is indeterminate since assets are perfect substitutes. And, second, as noted by Schmitt-Grohé and Uribe (2003) among others, even transitory shocks may have permanent effects on wealth. This, in turn, may lead to non-stationary responses of the endogenous variables. To deal with these issues, quadratic portfolio costs on asset holdings as in Ghironi, Lee, and Rebucci (2007) are introduced. Besides introducing frictions in asset markets, these costs help to pin down the steady state portfolio allocation and induce model stationarity. This research note gives technical details on the solution of the model. In the following section, the basic setup of the model as well as the main variables and equilibrium conditions of the model are briefly summarized. Section 3 solves for the steady state levels of the endogenous variables.
Book Synopsis Research Note on "International Consumption Risk Sharing and Monetary Policy" by : Sven Blank
Download or read book Research Note on "International Consumption Risk Sharing and Monetary Policy" written by Sven Blank and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This model analyzes the impact of monetary policy on international consumption risk sharing. To this end, the setup by Ghironi and Stebunovs (2008) is extended in two dimensions. First, to allow for international portfolio choices, cross-border trade of home and foreign equity is brought in. Second, to assign a non-trivial role to monetary policy, nominal price rigidities are introduced as in Bilbiie, Ghironi, and Melitz (2007). The model features incomplete goods as well as incomplete asset markets. Frictions in goods markets are given by variable iceberg-type costs when shipping goods. Financial markets are incomplete as the set of available assets cannot span all the uncertainty induced by potential shock scenarios. In addition, financial markets are not fully integrated as engagement in asset markets is costly. This research note gives technical details on the solution of the model. In the following section, the basic setup of the model as well as the main variables and equilibrium conditions of the model are briefly summarized. Section 3 presents the steady state.
Book Synopsis Assessing the Degree of International Consumption Risk Sharing by :
Download or read book Assessing the Degree of International Consumption Risk Sharing written by and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Financial Integration and Consumption Risk Sharing in East Asia by : Soyoung Kim
Download or read book Financial Integration and Consumption Risk Sharing in East Asia written by Soyoung Kim and published by 대외경제정책연구원. This book was released on 2003 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Feasible Gains from International Risk Sharing by : Sylvester C. W. Eijffinger
Download or read book The Feasible Gains from International Risk Sharing written by Sylvester C. W. Eijffinger and published by . This book was released on 2001 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: We argue that since there are several impediments to international risk sharing, the welfare fains from full international risk sharing, which have been the object of analysis in the previous literature, are not suggestive. Instead, we study the gains from feasible risk sharing and find that they are considerable (0,5% increase in permanent consumption). Marginal benefits from further risk sharing are low, which indicates that feasible risk sharing can achieve most of the benefits from international risk sharing. Surprisingly, we find that sharing short term consumption risk lowers welfare. On the basis of the results we make suggestions on how to improve existing international risk sharing systems.
Download or read book Memo written by Fabio Canova and published by . This book was released on 1994 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis International and Intranational Consumption Risk Sharing by : Vincent Labhard
Download or read book International and Intranational Consumption Risk Sharing written by Vincent Labhard and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
