全球智库信息集成服务系统(G2TT): DP8355 The International Risk-Sharing Puzzle is at Business Cycle and Lower Frequency

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP8355
	DP8355 The International Risk-Sharing Puzzle is at Business Cycle and Lower Frequency
	Giancarlo Corsetti; Luca Dedola; Francesca Viani
发表日期	2011-04-01
出版年	2011
语种	英语
摘要	We decompose the Backus-Smith [1993] statistic --- a low or negative correlation between relative consumption and the real exchange rate at odds with a high degree of international risk sharing --- in its dynamic components at different frequencies. Using multivariate spectral analysis techniques we show that, in most OECD countries, the dynamic correlation tends to be more negative, and significantly so, at business cycle or lower frequencies --- the appropriate frequencies for assessing the performance of international business cycle models. Theoretically, we show that the dynamic correlation predicted by standard open-economy models is the sum of two terms: a term constant across frequencies, which can be negative as a function of uninsurable risk; a term variable across frequencies, which in bond economies is necessarily positive, reflecting the insurance intertemporal trade provides against forecastable contingencies. We show that the main mechanisms proposed in the literature to account for the puzzle are consistent with the evidence.
主题	International Macroeconomics
关键词	Incomplete markets International risk-sharing Spectral analysis
URL	https://cepr.org/publications/dp8355
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/537182
推荐引用方式 GB/T 7714	Giancarlo Corsetti,Luca Dedola,Francesca Viani. DP8355 The International Risk-Sharing Puzzle is at Business Cycle and Lower Frequency. 2011.