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Author : Fabio Canova,Morten O. Ravn
Publisher : Unknown
Page : 52 pages
File Size : 44,8 Mb
Release : 1993
Category : Consumption (Economics)
ISBN : STANFORD:36105071863802
Author : Mr.Zhaogang Qiao
Publisher : International Monetary Fund
Page : 48 pages
File Size : 43,5 Mb
Release : 2010-03-01
Category : Business & Economics
ISBN : 9781451982084
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.
Author : Mr.Akito Matsumoto,Mr.Robert P. Flood,Ms.Nancy P. Marion
Publisher : International Monetary Fund
Page : 40 pages
File Size : 54,9 Mb
Release : 2009-09-01
Category : Business & Economics
ISBN : 9781451873566
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.
Author : M. Ayhan Kose,Eswar Prasad,Marco Terrones
Publisher : International Monetary Fund
Page : 48 pages
File Size : 41,5 Mb
Release : 2007-10
Category : Business & Economics
ISBN : UCSD:31822036080695
In theory, one of the main benefits of financial globalization is that it should allow for more efficient international risk sharing. This paper provides a comprehensive empirical evaluation of the patterns of risk sharing among different groups of countries and examines how international financial integration has affected the evolution of these patterns. Using a variety of empirical techniques, we conclude that there is at best a modest degree of international risk sharing, and certainly nowhere near the levels predicted by theory. In addition, only industrial countries have attained better risk sharing outcomes during the recent period of globalization. Developing countries have, by and large, been shut out of this benefit. The most interesting result is that even emerging market economies, which have experienced large increases in cross-border capital flows, have seen little change in their ability to share risk. We find that the composition of flows may help explain why emerging markets have not been able to realize this presumed benefit of financial globalization. In particular, our results suggest that portfolio debt, which has dominated the external liability stocks of most emerging markets until recently, is not conducive to risk sharing.
Author : Soyoung Kim,Yun-jong Wang
Publisher : 대외경제정책연구원
Page : 54 pages
File Size : 48,5 Mb
Release : 2003
Category : Consumption (Economics)
ISBN : UCSD:31822030971956
Author : Sascha O. Becker,Mathias Hoffmann
Publisher : Unknown
Page : 44 pages
File Size : 53,5 Mb
Release : 2001
Category : Capital market
ISBN : UCSD:31822029910163
Author : Philippe Auffret
Publisher : World Bank Publications
Page : 28 pages
File Size : 49,6 Mb
Release : 2001
Category : Crecimiento economico
ISBN : 8210379456XXX
Following Lucas's (1987) standard approach, welfare gains from international risk-sharing have been measured as the percentage increase in consumption levels that leaves individuals indifferent between, autarky and risk-sharing. The author proposes to measure welfare gains as the increase in consumption growth, instead of consumption levels. When the consumption process is non-stationary, the author's proposed measure has several attractive features: it does not depend on the horizon, and it is robust to alternative specifications of the consumption stochastic processes (from geometric Brownian processes, to Orstein-Ulhenbeck mean-reverting processes), and preferences (from constant relative risk aversion preferences to Kreps-Porteus preferences). The author then uses this measure to estimate potential welfare gains from international risk-sharing for a representative U.S. consumer. The author finds that if international risk-sharing leads only to a complete elimination of aggregate consumption volatility (with no impact on consumption growth), it represents gains to a U.S. consumer of only $ 12 a year on average. But if international risk-sharing also permits an increase in consumption growth, it may have a sizable impact on welfare. Each 0.5 percentage point increase in consumption growth, represents gains to a U.S. consumer of about $ 160 a year on average.
Author : Angel J. Ubide
Publisher : Unknown
Page : 68 pages
File Size : 54,8 Mb
Release : 1994
Category : Capital market
ISBN : STANFORD:36105071863182
Author : Michael J. Artis
Publisher : Unknown
Page : 0 pages
File Size : 51,6 Mb
Release : 2007
Category : Electronic
ISBN : OCLC:1435222241
Author : Julian Fischer
Publisher : GRIN Verlag
Page : 42 pages
File Size : 44,9 Mb
Release : 2017-09-04
Category : Business & Economics
ISBN : 9783668516816
Seminar paper from the year 2017 in the subject Economics - International Economic Relations, grade: 2,0, University of Göttingen (Professur für Empirische Außenwirtschaft), course: International Financial Markets, language: English, abstract: In this paper, potential of international risk sharing for emerging markets will be investigated, particularly in terms of financial integration and liberalization. The incentives of financial integration will be surveyed in terms of international risk sharing, indicate benefits for emerging market economies. In addition, it will be investigated if huge foreign capital inflows show positive effects of risk sharing for them. Several government leaders all over the world recognize the potential of financial globalization for their country. A strong incentive for deeper financial linking can be observed. Three of the development countries in Africa already grew up to the so called emerging markets: Egypt, Morocco and South Africa. To keep up with the fast growing population and facilitating the economic growth, they want to stimulate employments for agriculture and infrastructure by investment partnerships with the G20, whereas Donald Trump, the President of the USA, would like to cut funding World Bank programs like credit guarantees or small business access to finance for these countries. Indeed, these development countries, also including emerging markets, need to implement more structural changes like liberalizing financial markets and financial transparency for these intentions. Is international risk sharing able to smooth uncertainties in the emerging markets? Will they catch up the distance to industrial countries? In light of ongoing financial integration and economic development, the influence of international risk sharing in terms of financial globalization for emerging markets will be investigated. Just little evidence of risk sharing can be seen throughout the last decades, but still some persuasive inquiries are to be considered. Improvements in international risk sharing potentially lead to stabilizing effects, scarcer sudden stops and smaller risk premiums. Structural policy changes and better financial integration could surmount the threshold effect.
Author : Jean Imbs,Paolo Mauro
Publisher : International Monetary Fund
Page : 56 pages
File Size : 45,5 Mb
Release : 2007-06
Category : Business & Economics
ISBN : UCSD:31822036076891
In this paper, we identify the groups of countries where international risk-sharing opportunities are most attractive. We show that the bulk of risk-sharing gains can be achieved in groups consisting of as few as seven members, and that further marginal benefits quickly become negligible. For many such small groups, the welfare gains associated with risk sharing can amount to one order of magnitude larger than Lucas's classic calibration suggested for the United States, under similar assumptions on utility. Why do we not observe more arrangements of this type? Large welfare gains can only be achieved within groups where contracts are probably seen as relatively difficult to enforce. International diversification can thus yield substantial gains, but these may remain untapped owing to potential partners' weak institutional quality and a history of default on international obligations. Noting that existing risk sharing arrangements often have a regional dimension, we speculate that shared economic interests such as common trade may help sustain such arrangements, though risk-sharing gains are smaller when membership is constrained on a regional basis.
Author : Soyoung Kim,Yun-jong Wang
Publisher : KIEP
Page : 54 pages
File Size : 54,9 Mb
Release : 2004
Category : Consumption (Economics)
ISBN : UCSD:31822030971774
Author : Soyoung Kim,Sunghyun H. Kim,Yunjong Wang
Publisher : Unknown
Page : 35 pages
File Size : 51,8 Mb
Release : 2003
Category : Electronic
ISBN : 8932240264
Author : Fernando Broner,Jaume Ventura
Publisher : Unknown
Page : 64 pages
File Size : 54,9 Mb
Release : 2006
Category : Globalization
ISBN : IND:30000130115839
This paper presents a theoretical study of the e¤ects of globalization on risk sharing and welfare. We model globalization as a gradual and exogenous increase in the fraction of goods that are tradable. In the absence of frictions, globalization opens new goods markets and raises welfare. We assume, however, that countries cannot commit to pay their debts. Unlike the previous literature, and motivated by changes in the institutional setup of emerging-market borrowing, we also assume that countries cannot discriminate between domestic and foreign creditors when paying their debts. Although globalization still opens new goods markets, we find that it can also open or close some asset markets. The net e¤ect on risk sharing and welfare of this process of creation and destruction of markets might be either positive or negative depending on a variety of factors that the theory highlights.
Author : Giancarlo Corsetti,Luca Dedola,Francesca Viani
Publisher : Unknown
Page : 62 pages
File Size : 49,9 Mb
Release : 2011
Category : Consumption (Economics)
ISBN : OCLC:758615285
Accounting for the pervasive evidence of limited international risk sharing is an important hurdle for open-economy models, especially when these are adopted in the analysis of policy trade-offs likely to be affected by imperfections in financial markets. Key to the literature is the evidence, at odds with efficiency, that consumption is relatively high in countries where its international relative price (the real exchange rate) is also high. We reconsider the relation between cross-country consumption differentials and real exchange rates, by decomposing it into two components, reflecting the prices of tradable and nontradable goods, respectively. We document that, as a common pattern among OECD countries, both components tend to contribute to the overall lack of risk sharing, with the tradable price component playing the dominant role in accounting for efficiency deviations. We relate these findings to two mechanisms proposed by the literature to reconcile open economy models with the data. One features strong Balassa-Samuelson effects on nontradable prices due to productivity gains in the tradable sector, with a muted offsetting response of tradable prices. The other, endogenous income effects causing nontradable but especially tradable prices to appreciate with a rise in domestic consumption demand.