Risk sharing in Europe: new empirical evidence on the capital markets channel

Gilles Dufrénot (), Jean-Baptiste Gossé and Caroline Clerc
Additional contact information
Caroline Clerc: Banque de France - ACPR

Post-Print from HAL

Abstract: This paper assesses the effectiveness of risk sharing mechanisms in Europe by breaking down the factor income components into their sub-components, and aims to further examine whether financial integration and international portfolio diversification boosts or dampens risk sharing. Using a panel of European countries, we compare the years before and after the 2008 financial crisis. We extend the literature by properly taking into account the heterogeneity (in both country and time dimensions) in the panel through new econometric models. Our results show that financial income has become a major channel of risk sharing in recent years and that a higher integration in the bond and equity markets significantly improves risk sharing in the long term.

Keywords: Euro area; risk sharing; financial integration; cross-sectional dependence (search for similar items in EconPapers)
Date: 2021-01
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Published in Applied Economics, 2021, 53 (2), pp.262-276. ⟨10.1080/00036846.2020.1804052⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: Risk sharing in Europe: new empirical evidence on the capital markets channel (2021)
Working Paper: Risk Sharing in Europe: New Empirical Evidence on the Capital Markets Channel (2020)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02978130

DOI: 10.1080/00036846.2020.1804052

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().