Risk Sharing through Capital Gains

Sørensen, Bent E, Kalemli-Özcan, Sebnem and Faruk Balli
Authors registered in the RePEc Author Service: Bent E. Sorensen and Sebnem Kalemli-Ozcan

No 8643, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: We estimate channels of international risk sharing between European Monetary Union (EMU), European Union, and other OECD countries 1992-2007. We focus on risk sharing through savings, factor income flows, and capital gains. Risk sharing through factor income and capital gains was close to zero before 1999 but has increased since then. Risk sharing from capital gains, at about 6 percent, is higher than risk sharing from factor income flows for European Union countries and OECD countries. Risk sharing from factor income flows is higher for Euro zone countries, at 14 percent, reflecting increased international asset and liability holdings in the Euro area.

Keywords: Capital markets; International financial integration; Income insurance (search for similar items in EconPapers)
JEL-codes: F21 F36 (search for similar items in EconPapers)
Date: 2011-11
New Economics Papers: this item is included in nep-cba, nep-eec, nep-ias and nep-opm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (15)

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Related works:
Journal Article: Risk sharing through capital gains (2012)
Journal Article: Risk sharing through capital gains (2012)
Working Paper: Risk Sharing through Capital Gains (2011)
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