| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP5691 |
| DP5691 The Home Bias and Capital Income Flows between Countries and Regions | |
| Michael Artis; Mathias Hoffmann | |
| 发表日期 | 2006-05-26 |
| 出版年 | 2006 |
| 语种 | 英语 |
| 摘要 | This paper documents a marked increase in international consumption risk sharing throughout the recent globalization period. Unlike earlier studies that have found it difficult to document a consistent effect of financial globalization on international consumption comovements, we make use of the information implicit in the relative levels of consumption and output to measure long-run risk sharing among OECD countries and US federal states. We derive our empirical setup from a deliberately simplistic model in which countries can trade perpetual claims to each other?s output (Shiller securities). This model allows us to identify the channels through which improvements in international risk sharing have come about. The model predicts crosscountry and cross-regional income flows with considerable precision. Both international income flows as well as consumption risk sharing have increased since 1990, in line with the gradual removal of country portfolio home bias documented elsewhere. Still, the increase in international income flows falls short of explaining all of the consumption risk sharing we see in international data. We show that heterogeneity in countries? gross foreign asset positions is important in explaining this result. While countries with less portfolio home bias enjoy better consumption risk sharing, our findings also suggest that heterogeneity in country portfolios opens a separate channel for consumption risk sharing, possibly through asymmetric valuation effects that have been emphasized in the recent literature. |
| 主题 | International Macroeconomics |
| 关键词 | Consumption risk sharing International and regional business cycles Home bias Non-stationary panel data |
| URL | https://cepr.org/publications/dp5691 |
| 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/534534 |
| 推荐引用方式 GB/T 7714 | Michael Artis,Mathias Hoffmann. DP5691 The Home Bias and Capital Income Flows between Countries and Regions. 2006. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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