Cross-country Consumption Risk Sharing, a Long-run Perspective

March 1, 2010

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Format: Chicago

Zhaogang Qiao. Cross-country Consumption Risk Sharing, a Long-run Perspective, (USA: International Monetary Fund, 2010) accessed November 21, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

This paper estimates an empirical nonstationary panel regression model that tests long-run consumption risk sharing across a sample of OECD and emerging market (EM) countries. This is in contrast to the existing literature on consumption risk sharing, which is mainly about risks at business cycle frequency. Since our methodology focuses on identifying cointegrating relationships while allowing for arbitrary short-run dynamics, we can obtain a consistent estimate of long-run risk sharing while disregarding any short-run nuisance factors. Our results show that long-run risk sharing in OECD countries increased more than that in EM countries during the past two decades.

Subject: Business cycles, Consumption, Emerging and frontier financial markets, Financial integration, Insurance

Keywords: Math, Time series, WP

Publication Details

Pages:

46
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2010/064
Stock No:

WPIEA2010064
ISBN:

9781451982084
ISSN:

1018-5941

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