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Risk Sharing in a World Economy with Uncertainty Shocks
Kollmann, Robert - 2017
the high empirical volatility of the real exchange rate and the disconnect between relative consumption growth and the …This paper analyzes the effects of output volatility shocks and of risk appetite shocks on the dynamics of consumption … in a country's output volatility triggers a wealth transfer to that country, in equilibrium; this raises its consumption …
Persistent link: https://www.econbiz.de/10012970180
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Risk Sharing in a World Economy with Uncertainty Shocks
Kollmann, Robert - 2015
the high empirical volatility of the real exchange rate and the disconnect between relative consumption growth and the …This paper analyzes the effects of output volatility shocks and of risk appetite shocks on the dynamics of consumption … in a country's output volatility triggers a wealth transfer to that country, in equilibrium; this raises its consumption …
Persistent link: https://www.econbiz.de/10013011666
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Chapter 9. Assessing International Efficiency
Heathcote, Jonathan; Perri, Fabrizio - In: Handbook of international economics : Volume 4, (pp. 523-584). 2014
systematic relation between fast growth and preference for delayed consumption. The third part applies the methodology to the …
Persistent link: https://www.econbiz.de/10014025377
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Financial Liberalization, Growth, and Risk
Popov, Alexander A. - 2011
variability, measured both as the volatility and the left skewness of the growth process. These effects are stronger in industries …We analyze output growth and risk as the joint outcomes of financial liberalization. Using an industry panel of 55 … countries over 45 years, we find that financial liberalization results simultaneously in higher growth and in higher growth …
Persistent link: https://www.econbiz.de/10013128517
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Risk Sharing and Industrial Specialization : Regional and International Evidence
Sørensen, Bent E.; Kalemli-Ozcan, Sebnem; Yosha, Oved - 2008
We provide empirical evidence that risk sharing enhances specialization in production. First, we calculate an index of specialization for each of the European Community (EC) and non-EC OECD countries, U.S. states, Canadian provinces, Japanese prefectures, Latin American countries, and regions of...
Persistent link: https://www.econbiz.de/10014129968
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Securitization of mortgage debt, asset prices and international risk sharing
Hoffmann, Mathias; Nitschka, Thomas - 2009
We explore the impact of mortgage securitization on the international diversification of macroeconomic risk. By making mortgage-related risks internationally tradeable, securitization contributes considerably to better international consumption risk sharing: we find that countries with the most...
Persistent link: https://www.econbiz.de/10003806732
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Financial Integration and International Risk Sharing
Bai, Yan - 2009
Conventional wisdom suggests that financial liberalization can help countries insure against idiosyncratic risk. There is little evidence, however, that countries have increased risk sharing despite recent widespread financial liberalization. This work shows that the key to understanding this...
Persistent link: https://www.econbiz.de/10013153048
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The Fundamentals of Safe Assets
Habib, Maurizio Michael - 2020
We study what makes government bonds a safe asset. Building on a sample of monthly changes in government bond yields in 40 advanced and emerging countries, we analyse the sensitivity of yields to country specific fundamentals interacted with changes in global risk (VIX). We find that inertia...
Persistent link: https://www.econbiz.de/10012844631
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Financial Integration and Consumption Risk Sharing and Smoothing
Suzuki, Yui - 2013
even larger increases in consumption responding to positive shocks to income growth …
Persistent link: https://www.econbiz.de/10012711324
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Intra- and International Risk-Sharing in the Short Run and the Long Run
Becker, Sascha O.; Hoffmann, Mathias - 2021
We investigate empirically how industrialized countries and U.S. states share consumption risk at horizons between one and thirty years. U.S. federal states share about 50 percent of their permanent idiosyncratic risk through cross-state capital income flows. While insurance against transitory...
Persistent link: https://www.econbiz.de/10013319551