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Risk sharing by financial markets in federal systems : what do we really measure?

Dullien, Sebastian - 2017

This paper criticises the standard methodology used to measure the importance of different channels of risk sharing in …

Persistent link: https://www.econbiz.de/10011919725

A note on risk sharing versus instability in international financial integration : when Obstfeld meets Stiglitz

Boucekkine, Raouf; Zou, Benteng - 2017

Persistent link: https://www.econbiz.de/10011853208

Domestic and global uncertainty : a survey and some new results

Castelnuovo, Efrem - 2019

This survey features three parts. The first one covers the recent literature on domestic (i.e., country-specific) uncertainty and offers ten main takeaways. The second part reviews contributions on the fast-growing strand of the literature focusing on the macroeconomic effects of uncertainty...

Persistent link: https://www.econbiz.de/10012119543

International risk sharing in overlapping generations models

Staveley-O'Carroll, James; Staveley-O'Carroll, Olena M. - In: Economics letters 174 (2019), pp. 157-160

Persistent link: https://www.econbiz.de/10012121072

A pedagogical note on risk sharing versus instability in international financial integration : when obstfeld meets Stiglitz

Boucekkine, Raouf; Zou, Benteng - In: Open economies review 30 (2019) 1, pp. 179-190

Persistent link: https://www.econbiz.de/10012153806

The macrofinancial risk assessment framework (MFRAF), Version 2.0

Fique, José - 2017

Persistent link: https://www.econbiz.de/10011735377

International risk sharing with endogenously Ssegmented asset markets

Cociuba, Simona E.; Ramanarayanan, Ananth - 2017

Asset price data imply a large degree of international risk sharing, while aggregate consumption data do not. We …. Active households pay a fixed cost to transfer income into or out of assets. These households share risk within and across … countries, and their marginal utility growth prices assets, so asset prices imply high international risk sharing. Inactive …

Persistent link: https://www.econbiz.de/10011763742

The risk-return tradeoff in international stock markets : one-step multivariate GARCH-M estimation with many assets

Dhaene, Geert; Sercu, Piet; Wu, Jianbin - 2016

Persistent link: https://www.econbiz.de/10011707065

International business cycles and risk sharing with uncertainty shocks and recursive preferences

Kollmann, Robert - In: Journal of economic dynamics & control 72 (2016), pp. 115-124

Persistent link: https://www.econbiz.de/10011708860

Global uncertainty

Caggiano, Giovanni; Castelnuovo, Efrem - 2021

We estimate a novel measure of global financial uncertainty (GFU) with a dynamic factor framework that jointly models global, regional, and country-specific factors. We quantify the impact of GFU shocks on global output with a VAR analysis that achieves set-identification via a combination of...

Persistent link: https://www.econbiz.de/10012431805