International risk sharing with heterogeneous firms

Masashige Hamano

Journal of International Money and Finance, 2022, vol. 120, issue C

Abstract: This paper explores international consumption risk sharing in an open economy macro model with firm heterogeneity and shows that firm entry and the self-selection of more efficient firms into exporting account for better international risk sharing. I show analytically that the conventional unconditional correlation between relative consumption and the real exchange rate is not a good metric for measuring international consumption risk sharing. World trade data covering more than two decades indicate that the extent of international risk sharing is underestimated.

Keywords: Exchange rate; International risk sharing; Product quality; Firm heterogeneity (search for similar items in EconPapers)
JEL-codes: F12 F41 F43 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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Related works:
Working Paper: International Risk Sharing with Heterogeneous Firms (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:120:y:2022:i:c:s0261560621001546

DOI: 10.1016/j.jimonfin.2021.102503

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