On financial liberalization and long-run risk sharing Academic Article

journal

  • International Economics

abstract

  • © 2016 CEPII (Centre d'Etudes Prospectives et d'Informations Internationales), a center for research and expertise on the world economyWe address the noted puzzle that despite increased capital mobility, international consumption risk sharing appears to be very limited. For all possible country pairings, we measure idiosyncratic consumption as the difference between national real per capita consumption expenditures. Using a pair-wise framework based on the time-series properties of idiosyncratic consumption, a probabilistic test for non-stationarity suggests that the extent of risk sharing in fact occurs for a large sample of industrial countries. Further to this, we conduct a probit analysis to confirm a statistically significant positive association between the probability of cointegration between national measures of real per capita consumption and the degree of capital mobility.

publication date

  • 2016/12/1

keywords

  • Capital mobility
  • Cointegration
  • Consumption risk sharing
  • Developed countries
  • Expenditure
  • Expertise
  • Financial liberalization
  • International capital mobility
  • Nonstationarity
  • Probit analysis
  • Risk sharing

International Standard Serial Number (ISSN)

  • 2110-7017

number of pages

  • 10

start page

  • 31

end page

  • 40