Consumption, Stock Returns, and the Gains from International Risk-Sharing

Karen Lewis

Weiss Center Working Papers from Wharton School - Weiss Center for International Financial Research

Abstract: The structure of this paper is as follows. in section 1, I describe the welfare gain function. In section 2, I use stock returns for the G-7 countries to examine stock returns using standard mean- variance analysis. In section 3, I develop a single general equilibrium framework for examining risk-sharing based upon consumption. I then incorporate stock return data to calculate general equilibrium gains in section 4. In section 5, I use the expected stock returns to back out the implied utility parameters. With these values, I re-examine the welfare costs. Concluding remarks follow.

Keywords: STOCK MARKET; SHARES; INTERNATIONAL FINANCE; CONSUMPTION; RISK (search for similar items in EconPapers)
JEL-codes: D80 D81 G10 G15 (search for similar items in EconPapers)
Pages: 30 pages
Date: 1996
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Citations: View citations in EconPapers (10)

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Working Paper: Consumption, stock returns, and the gains from international risk-sharing (1996)
Working Paper: Consumption, Stock Returns, and the Gains from International Risk-Sharing (1996)
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Persistent link: https://EconPapers.repec.org/RePEc:fth:pennif:96-4

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