| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP16443 |
| DP16443 Sharing Asymmetric Tail Risk: Smoothing, Asset Pricing and Terms of Trade | |
| Giancarlo Corsetti; Anna Lipinska; Giovanni Lombardo | |
| 发表日期 | 2021-08-10 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | Crises and tail events have asymmetric effects across borders, raising the value of arrangements improving insurance of macroeconomic risk. Using a two-country DSGE model, we provide an analytical and quantitative analysis of the channels through which countries gain from sharing (tail) risk. Riskier countries gain in smoother consumption but lose in relative wealth and average consumption. Safer countries benefit from higher wealth and better average terms of trade. Calibrated using the empirical distribution of moments of GDP-growth across countries, the model suggests significant quantitative effects. We offer an algorithm for the correct solution of the equilibrium using DSGE models under complete markets, at higher order of approximation. |
| 主题 | International Macroeconomics and Finance |
| 关键词 | international risk sharing Asymmetry Fat tails Welfare |
| URL | https://cepr.org/publications/dp16443 |
| 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/545401 |
| 推荐引用方式 GB/T 7714 | Giancarlo Corsetti,Anna Lipinska,Giovanni Lombardo. DP16443 Sharing Asymmetric Tail Risk: Smoothing, Asset Pricing and Terms of Trade. 2021. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
