Capital mobility and international sharing of cyclical risk

Julien Bengui, Enrique Mendoza and Vincenzo Quadrini

Journal of Monetary Economics, 2013, vol. 60, issue 1, 42-62

Abstract: This paper investigates whether the international globalization of financial markets allows for significant cross-country risk-sharing at the business cycle frequency. We find that cross-country risk-sharing is still limited and this is unlikely to be the result of financial frictions that limit state-contingent contracts. Part of the limited international risk sharing could be the consequence of frictions that de-facto reduce the short-term mobility of financial capital. But even with these frictions we find significant divergence between model predictions and the data.

Date: 2013
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Working Paper: Capital Mobility and International Sharing of Cyclical Risk (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:moneco:v:60:y:2013:i:1:p:42-62

DOI: 10.1016/j.jmoneco.2012.10.001

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