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Capital Mobility and International Sharing of Cyclical Risk

Julien Bengui, Enrique Mendoza and Vincenzo Quadrini

No 18372, NBER Working Papers from National Bureau of Economic Research, Inc

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.

JEL-codes: F36 F44 G15 (search for similar items in EconPapers)
Date: 2012-09
New Economics Papers: this item is included in nep-bec, nep-dge, nep-ifn and nep-opm
Note: IFM
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published as Bengui, Julien & Mendoza, Enrique G. & Quadrini, Vincenzo, 2013. "Capital mobility and international sharing of cyclical risk," Journal of Monetary Economics, Elsevier, vol. 60(1), pages 42-62.

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Journal Article: Capital mobility and international sharing of cyclical risk (2013) Downloads
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