Abstract
| Original language | English |
|---|---|
| Journal | Journal of International Economics |
| Volume | 103 |
| Pages (from-to) | 27–43 |
| Number of pages | 17 |
| ISSN | 0022-1996 |
| DOIs | |
| Publication status | Published - Nov 2016 |
Keywords
- Consumption risk sharing
- Long-run international data
- Market integration
Cite this
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Capital Market Integration and Consumption Risk Sharing over the Long Run. / Rangvid, Jesper; Santa-Clara, Pedro; Schmeling, Maik.
In: Journal of International Economics, Vol. 103, 11.2016, p. 27–43.Research output: Contribution to journal › Journal article › Research › peer-review
TY - JOUR
T1 - Capital Market Integration and Consumption Risk Sharing over the Long Run
AU - Rangvid, Jesper
AU - Santa-Clara, Pedro
AU - Schmeling, Maik
PY - 2016/11
Y1 - 2016/11
N2 - We empirically investigate time variation in capital market integration and consumption risk sharing using data for 16 countries from 1875 to 2012. We show that there has been considerable variation over time in the degrees of capital market integration and consumption risk sharing and that higher capital market integration forecasts more consumption risk sharing in the future. This finding is robust to controlling for trade openness and exchange rate volatility as alternative drivers of risk sharing. Finally, we calculate the welfare costs of imperfect consumption risk sharing and find that these costs vary over time, line up with variation in risk sharing, and are quite substantial during periods of low risk sharing.
AB - We empirically investigate time variation in capital market integration and consumption risk sharing using data for 16 countries from 1875 to 2012. We show that there has been considerable variation over time in the degrees of capital market integration and consumption risk sharing and that higher capital market integration forecasts more consumption risk sharing in the future. This finding is robust to controlling for trade openness and exchange rate volatility as alternative drivers of risk sharing. Finally, we calculate the welfare costs of imperfect consumption risk sharing and find that these costs vary over time, line up with variation in risk sharing, and are quite substantial during periods of low risk sharing.
KW - Consumption risk sharing
KW - Long-run international data
KW - Market integration
KW - Consumption risk sharing
KW - Long-run international data
KW - Market integration
UR - https://sfx-45cbs.hosted.exlibrisgroup.com/45cbs?url_ver=Z39.88-2004&url_ctx_fmt=info:ofi/fmt:kev:mtx:ctx&ctx_enc=info:ofi/enc:UTF-8&ctx_ver=Z39.88-2004&rfr_id=info:sid/sfxit.com:azlist&sfx.ignore_date_threshold=1&rft.object_id=954921349274&rft.object_portfolio_id=&svc.holdings=yes&svc.fulltext=yes
U2 - 10.1016/j.jinteco.2016.08.001
DO - 10.1016/j.jinteco.2016.08.001
M3 - Journal article
VL - 103
SP - 27
EP - 43
JO - Journal of International Economics
JF - Journal of International Economics
SN - 0022-1996
ER -