Common correlated effects and international risk sharing

Peter Fuleky, Luigi Ventura and Qianxue Zhao

International Finance, 2018, vol. 21, issue 1, 55-70

Abstract: Correct assessment of consumption risk and its international diversification has important policy implications. However, existing studies of international risk sharing rely on the unrealistic assumptions that all economies are characterized by symmetric preferences and uniform transmission of global shocks. We relax these homogeneity constraints and compare our proposed approach with the conventional ones using a 44†year panel of 120 countries. Our results confirm that consumption is only partially smoothed internationally and risk sharing is directly related to the level of development, but we do not detect a significant increase in risk sharing during the surge in financial globalization over the last four decades.

Date: 2018
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Citations: View citations in EconPapers (10)

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https://doi.org/10.1111/infi.12119

Related works:
Working Paper: Common correlated effects and international risk sharing (2017)
Working Paper: Common correlated effects and international risk sharing (2016)
Working Paper: Common Correlated Effects and International Risk Sharing (2016)
Working Paper: Common correlated effects and international risk sharing (2013)
Working Paper: Common correlated effects and international risk sharing (2013)
Working Paper: Common Correlated Effects and International Risk Sharing (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:bla:intfin:v:21:y:2018:i:1:p:55-70

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