Determinants of International Consumption Risk Sharing in Developing Countries PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Determinants of International Consumption Risk Sharing in Developing Countries PDF full book. Access full book title Determinants of International Consumption Risk Sharing in Developing Countries by Malin Gardberg. Download full books in PDF and EPUB format.
Author: Malin Gardberg
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Get Book Here
Book Description
Complete financial markets allow countries to share their consumption risks internationally, thereby creating welfare gains through lower volatility of aggregate consumption. This paper empirically looks at international consumption risk sharing and its determinants in a panel of 120 countries from 1970 to 2014. Contrary to some previous studies, I show that financial liberalization and financial integration has a significantly positive impact on international consumption risk sharing in poorer developing countries, whereas in emerging market countries only capital account openness has an impact. Moreover, there is some evidence that high income inequality or a high share of low income individuals reduces consumption smoothing in less developed countries. Lack of financial reforms, a lower degree of financial integration and higher inequality can thus partly explain why the degree of risk sharing is lower in developing countries than in advanced economies.
Author: Malin Gardberg
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Get Book Here
Book Description
Complete financial markets allow countries to share their consumption risks internationally, thereby creating welfare gains through lower volatility of aggregate consumption. This paper empirically looks at international consumption risk sharing and its determinants in a panel of 120 countries from 1970 to 2014. Contrary to some previous studies, I show that financial liberalization and financial integration has a significantly positive impact on international consumption risk sharing in poorer developing countries, whereas in emerging market countries only capital account openness has an impact. Moreover, there is some evidence that high income inequality or a high share of low income individuals reduces consumption smoothing in less developed countries. Lack of financial reforms, a lower degree of financial integration and higher inequality can thus partly explain why the degree of risk sharing is lower in developing countries than in advanced economies.
Author: Mr.Zhaogang Qiao
Publisher: International Monetary Fund
ISBN: 1451982089
Category : Business & Economics
Languages : en
Pages : 48
Get Book Here
Book Description
This paper estimates an empirical nonstationary panel regression model that tests long-run consumption risk sharing across a sample of OECD and emerging market (EM) countries. This is in contrast to the existing literature on consumption risk sharing, which is mainly about risks at business cycle frequency. Since our methodology focuses on identifying cointegrating relationships while allowing for arbitrary short-run dynamics, we can obtain a consistent estimate of long-run risk sharing while disregarding any short-run nuisance factors. Our results show that long-run risk sharing in OECD countries increased more than that in EM countries during the past two decades.
Author: Fabio Canova
Publisher:
ISBN:
Category : Consumption (Economics)
Languages : en
Pages : 52
Get Book Here
Book Description
Author: Constantino Hevia
Publisher:
ISBN:
Category : Consumption (Economics)
Languages : en
Pages : 40
Get Book Here
Book Description
This paper examines the extent of consumption risk sharing for a group of 50 high-income and developing countries. The analysis is based on the empirical implementation of a model of partial consumption insurance whose parameters have the natural interpretation of coefficients of partial risk sharing even when the 0 hypothesis of perfect risk sharing is rejected. The estimation results show that high-income countries exhibit higher degrees of risk sharing than developing countries, and that the gap between the two country groups appears to have widened over the period of financial globalization. Moreover, the pattern of consumption risk sharing is related to the degree of financial openness: countries with more open capital accounts, and larger stocks of foreign assets and liabilities exhibit larger degrees of risk sharing. Yet, larger countries in terms of gross domestic product show lower degrees of consumption risk sharing.
Author: Mr.Akito Matsumoto
Publisher: International Monetary Fund
ISBN: 1451873565
Category : Business & Economics
Languages : en
Pages : 40
Get Book Here
Book Description
Though theory suggests financial globalization should improve international risk sharing, empirical support has been limited. We develop a simple welfare-based measure that captures how far countries are from the ideal of perfect risk sharing. We then take it to data and find international risk sharing has, indeed, improved during globalization. Improved risk sharing comes mostly from the convergence in rates of consumption growth among countries rather than from synchronization of consumption at the business cycle frequency. Our finding explains why many existing measures fail to detect improved risk sharing-they focus only on risk sharing at the business cycle frequency.
Author: Karen K. Lewis
Publisher:
ISBN:
Category : Consumption (Economics)
Languages : en
Pages : 48
Get Book Here
Book Description
Recent research in international business cycles based upon complete markets has found that international consumption correlations are lower than predicted by the standard risk-sharing implications of these models. In this paper, I use regression tests to ask whether two different types of explanations can help explain this result. First, I consider whether non-separabilities between tradeables and non-tradeable leisure or goods can explain the puzzle. Surprisingly, non-separabilities explain only a tiny fraction of the variation in tradeables consumption across countries. Furthermore, risk-sharing in tradeables is rejected. Second, I examine the effects of capital market restrictions on aggregate consumption risk-sharing by countries. While rejections of risk-sharing are stronger for countries facing more severe capital market restrictions, risk-sharing is still rejected for the unrestricted group of countries. Therefore, risk-sharing does not appear to be resolved by either explanation alone. However, when I allow for both non-separabilities and certain market restrictions, risk-sharing among unrestricted countries is not rejected. This evidence suggests that a combination of these two effects may be necessary to explain consumption risk-sharing across countries.
Author: Soyoung Kim
Publisher: 대외경제정책연구원
ISBN:
Category : Consumption (Economics)
Languages : en
Pages : 54
Get Book Here
Book Description
Author: Sven Blank
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Perfect risk sharing requires both, frictionless goods as well as frictionless asset markets. To analyze the consequences of both type of frictions for consumption risk sharing across countries, the model by Ghironi and Melitz (2005) is extended to allow for international trade in equities. The model features fixed costs of exporting as well as variables iceberg costs when shipping goods. Financial markets are incomplete, as only two assets are traded, which cannot span all the uncertainty caused by potential shock scenarios. In models with incomplete asset markets, two well known problems arise. First, the steady state portfolio allocation in a non-stochastic steady state is indeterminate since assets are perfect substitutes. And, second, as noted by Schmitt-Grohé and Uribe (2003) among others, even transitory shocks may have permanent effects on wealth. This, in turn, may lead to non-stationary responses of the endogenous variables. To deal with these issues, quadratic portfolio costs on asset holdings as in Ghironi, Lee, and Rebucci (2007) are introduced. Besides introducing frictions in asset markets, these costs help to pin down the steady state portfolio allocation and induce model stationarity. This research note gives technical details on the solution of the model. In the following section, the basic setup of the model as well as the main variables and equilibrium conditions of the model are briefly summarized. Section 3 solves for the steady state levels of the endogenous variables.
Author: M. Ayhan Kose
Publisher: International Monetary Fund
ISBN:
Category : Business & Economics
Languages : en
Pages : 48
Get Book Here
Book Description
In theory, one of the main benefits of financial globalization is that it should allow for more efficient international risk sharing. This paper provides a comprehensive empirical evaluation of the patterns of risk sharing among different groups of countries and examines how international financial integration has affected the evolution of these patterns. Using a variety of empirical techniques, we conclude that there is at best a modest degree of international risk sharing, and certainly nowhere near the levels predicted by theory. In addition, only industrial countries have attained better risk sharing outcomes during the recent period of globalization. Developing countries have, by and large, been shut out of this benefit. The most interesting result is that even emerging market economies, which have experienced large increases in cross-border capital flows, have seen little change in their ability to share risk. We find that the composition of flows may help explain why emerging markets have not been able to realize this presumed benefit of financial globalization. In particular, our results suggest that portfolio debt, which has dominated the external liability stocks of most emerging markets until recently, is not conducive to risk sharing.
Author: Aidan Corcoran
Publisher:
ISBN:
Category :
Languages : en
Pages : 40
Get Book Here
Book Description
This paper finds economically significant levels of consumption risk sharing by industrialized and emerging/developing countries over the period 1987-2003/4. Failure to account for the distinct effects of different types of financial integration (particularly the possible procyclicality of debt liabilities) and for the role of the real exchange rate in determining the extent of risk sharing may partly explain the lack of evidence for risk sharing by emerging and developing countries in previous studies. The need to allow for different responses of consumption to aggregate and domestic shocks, which could occur if the two types of shocks display different degrees of persistence, receives empirical support, but does not materially affect the measure of risk sharing. Likewise, the use of different deflators proposed in the literature does not affect the findings, except in the case of debt market integration by Non-OECD countries.
