全球智库信息集成服务系统(G2TT): International Consumption Risk Is Shared After All: An Asset Return View

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w17872
来源ID	Working Paper 17872
	International Consumption Risk Is Shared After All: An Asset Return View
	Karen K. Lewis; Edith X. Liu
发表日期	2012-02-23
出版年	2012
语种	英语
摘要	International consumption risk sharing studies have largely ignored their models' counterfactual implications for asset returns although these returns incorporate direct market measures of risk. In this paper, we modify a canonical risk-sharing model to generate more plausible asset return behavior and then consider the effects on welfare gains. Matching the mean and variance of equity returns and the risk-free rate requires persistent consumption risk, leading to three main findings: (1) risk-sharing gains decrease as the ability to diversify persistent consumption risk decreases; (2) the international correlation of equity returns is high relative to the correlation of consumption and dividends, implying low diversification potential for persistent consumption risk; and (3) increasing persistent consumption risk reduces the gains. Taken together, our findings suggest that asset returns imply more international risk sharing than previously thought.
主题	Macroeconomics ; Consumption and Investment ; International Economics ; International Finance ; International Macroeconomics ; Financial Economics ; Financial Markets
URL	https://www.nber.org/papers/w17872
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/575547
推荐引用方式 GB/T 7714	Karen K. Lewis,Edith X. Liu. International Consumption Risk Is Shared After All: An Asset Return View. 2012.

条目包含的文件
文件名称/大小	资源类型	版本类型	开放类型	使用许可
w17872.pdf（611KB）	智库出版物		限制开放	CC BY-NC-SA	浏览