Debt Crises and Risk Sharing: The Role of Markets versus Sovereigns

Sørensen, Bent E, Kalemli-Özcan, Sebnem and Emiliano Luttini
Authors registered in the RePEc Author Service: Sebnem Kalemli-Ozcan

No 9541, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: Using a variance decomposition of shocks to GDP, we quantify the role of international factor income, international transfers, and saving in achieving risk sharing during the recent European crisis. We focus on the sub-periods 1990--2007, 2008--2009, and 2010 and consider separately the European countries hit by the sovereign debt crisis in 2010. We decompose risk sharing from saving into contributions from government and private saving and show that fiscal austerity programs played an important role in hindering risk sharing during the sovereign debt crisis.

Keywords: Capital markets; Income insurance; International financial integration (search for similar items in EconPapers)
JEL-codes: E2 E6 F15 G15 (search for similar items in EconPapers)
Date: 2013-07
New Economics Papers: this item is included in nep-eec, nep-ias, nep-mac and nep-opm
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Citations: View citations in EconPapers (4)

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Related works:
Journal Article: Debt Crises and Risk‐Sharing: The Role of Markets versus Sovereigns (2014)
Working Paper: Debt Crises and Risk Sharing: The Role of Markets versus Sovereigns (2014)
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