Globalisation and consumption risk-sharing in emerging market economies

Manuel Ramos-Francia and Santiago Garcia-Verdu
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Manuel Ramos-Francia: Bank of Mexico
Authors registered in the RePEc Author Service: Manuel Ramos Francia

A chapter in Globalisation and deglobalisation, 2018, vol. 100, pp 231-244 from Bank for International Settlements

Abstract: Our aim is to explore how globalisation has affected consumption risk-sharing in emerging market economies. To that end, we implement a consumption risk-sharing test, using the Barro-Ursua Macroeconomic data set. Its span lets us explore historic episodes in which globalisation has markedly changed. We account for risk aversion heterogeneity by using the economies’ estimates of their relative risk aversion coefficients, and for subjective discount factor heterogeneity by estimating panel regressions with fixed effects. Specifically, we explore risk-sharing in emerging market and advanced economies as two groups, and by geographic regions. In most cases, we reject full insurance. However, advanced economies seem to have achieved full insurance in more recent periods. At a regional level, Europe and Asia appear to have attained such a result as well.

Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:bis:bisbpc:100-15

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