G2TT
来源类型Discussion paper
规范类型论文
来源IDDP4729
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
URLhttps://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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