| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP4729 |
| DP4729 A Variance Ratio Related Prediction Tool with Application to the NYSE Index 1825-2002 | |
| Shmuel Kandel; Shlomo Zilca | |
| 发表日期 | 2004-11-23 |
| 出版年 | 2004 |
| 语种 | 英语 |
| 摘要 | Consumption based measures of international risk sharing seem to defy the effects of more than two decades of ongoing financial globalization. We put forward an explanation of this puzzle: under incomplete risk sharing and if there are several sources of risk, consumption based measures of risk sharing will also be a function of the structure of business cycles, i.e. their degree of synchronization and persistence. We argue that permanent and transitory shocks to output constitute such qualitatively different sources of risk. Using OECD data, we then illustrate that countries have indeed become more insured against permanent shocks, in line with the ever better integration of financial markets. Basic measures of risk sharing have however not picked up this change because globalization has also affected the structure of business cycles. In particular, our results are consistent with the observation recently made by several authors that the globalization period has seen the emergence of less volatile and internationally more synchronized business cycles among industrialized countries. |
| 主题 | International Macroeconomics |
| 关键词 | Consumption risk sharing Capital flows Home bias International and regional business cycles |
| URL | https://cepr.org/publications/dp4729 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/533647 |
| 推荐引用方式 GB/T 7714 | Shmuel Kandel,Shlomo Zilca. DP4729 A Variance Ratio Related Prediction Tool with Application to the NYSE Index 1825-2002. 2004. |
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