Pierucci, Eleonora and Ventura, Luigi (2012): International risk sharing and globalization.
Download (292Kb) | Preview
The main research question of this empirical work is whether or not globalization, in its various forms, has had an impact upon international risk sharing. The empirical literature so far has only investigated on one aspect of globalization: economic and financial integration. By decomposing globalization in its economic, political and social aspects, and using a standard framework of consumption insurance tests to gauge the extent of risk sharing among countries, we obtain some interesting results. One of the main findings is that economic and social integration help better cope with idiosyncratic risk, but also that without political integration this might result in an increasing exposure to systemic (uninsurable) risk.
|Item Type:||MPRA Paper|
|Original Title:||International risk sharing and globalization|
|Keywords:||International risk sharing; globalization; social and political integration|
|Subjects:||F - International Economics > F1 - Trade > F15 - Economic Integration
C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models; Multiple Variables > C33 - Models with Panel Data; Longitudinal Data; Spatial Time Series
D - Microeconomics > D8 - Information, Knowledge, and Uncertainty > D80 - General
E - Macroeconomics and Monetary Economics > E2 - Macroeconomics: Consumption, Saving, Production, Employment, and Investment > E20 - General
|Depositing User:||Eleonora Pierucci|
|Date Deposited:||10. Jan 2012 23:01|
|Last Modified:||14. Feb 2013 15:34|
Ambrus, A., M. Mobius, and A. Szeidl (2010). Consumption risk-sharing in social networks. Working Paper 15719, National Bureau of Economic Research.
Artis, M. J. and M. Hoffmann (2007). The home bias and capital income flows between countries and regions. IEW - Working Papers iewwp316, Institute for Empirical Research in Economics - University of Zurich.
Asdrubali, P., B. E. Sorensen, and O. Yosha (1996). Channels of interstate risk sharing: United States 1963-1990. The Quarterly Journal of Economics 111 (4), 1081–1110.
A.T.Kearney (2007). Foreign policy globalization index. Technical report, A.T. Kearney. Bai, Y. and J. Zhang (2004). Financial integration and international risk sharing. Manuscript, Arizona State University.
Bloch, F., G. Genicot, and D. Ray (2008). Informal insurance in social networks. Journalof Economic Theory 143(1), 36–58.
Bramoullé, Y. and R. Kranton (2007). Risk sharing across communities. The American Economic Review 2, 70–74.
Broner, F. and J. Ventura (2011). Globalization and risk sharing. Review of Economic Studies 78(1), 49–82.
Cochrane, J. H. (1991). A simple test of consumption insurance. Journal of Political Economy 99(5), 957–76.
Crucini, M. J. (1999). On international and national dimensions of risk sharing. The Review of Economics and Statistics 81, 73–84.
Crucini, M. J. and G. D. Hess (1999). International and intranational risk sharing. CESifo Working Paper Series 227, CESifo Group Munich.
De Weerdt, J. (2004). Insurance against Poverty, Chapter Risk-Sharing and Endogenous Network Formation, pp. 197–216. Oxford University Press.
Devereux, M. B., A. W. Gregory, and G. W. Smith (1992). Realistic cross-country con- sumption correlations in a two-country, equilibrium, business cycle model. Journal of International Money and Finance 11(1), 3–16.
Dreher, A. (2006). Does globalization affect growth? evidence from a new index of globalization. Applied Economics 38(10), 1091–1110.
Dreher, A., J.-E. Sturm, and H. Ursprung (2008). The impact of globalization on the com- position of government expenditures: Evidence from panel data. Public Choice 134(3), 263–292.
Fafchamps, M. (2011). Handbook of Social Economics, Chapter Risk Sharing Between Households, pp. Volume 1A. North-Holland, San Diego and Amsterdam.
Fafchamps, M. and S. Lund (2003). Risk-sharing networks in rural philippines. Journal of Development Economics 71(2), 261–287.
Giannone, D. and L. Reichlin (2006). Trends and cycles in the euro area: how much heterogeneity and should we worry about it? Working Paper Series, European Central Bank (595).
IMF (2008a). Assessing risks to global financial stability. Technical report, International Monetary Fund.
IMF (2008b). Sovereign wealth funds : A work agenda, washington d.c.
Kaminsky, G. L., C. M. Reinhart, and C. A. Vegh (2004). When it rains, it pours: Procyclical capital flows and macroeconomic policies. NBER Working Papers 10780, National Bureau of Economic Research, Inc.
Kose, M. A., E. Prasad, and M. Terrones (2003). Financial integration and macroeconomic volatility. IMF Working Papers 03/50, International Monetary Fund.
Kose, M. A., E. Prasad, and M. Terrones (2007). How does financial globalization affect risk sharing? patterns and channels. IMF Working Papers 07/238, International Monetary Fund.
Kose, M. A., E. S. Prasad, and A. D. Taylor (2011). Thresholds in the process of in- ternational financial integration. Journal of International Money and Finance 30(1), 147–179.
Kose, M. A., E. S. Prasad, and M. E. Terrones (2009). Does financial globalization promote risk sharing? Journal of Development Economics 89 (2), 258–270.
Koster, F. (2008). The effects of social and political openness on the welfare state in 18 oecd countries. International Journal of Social Welfare 17(4), 291–300.
Lane, P. R. and G. M. Milesi-Ferretti (2007). The external wealth of nations mark ii: Revised and extended estimates of foreign assets and liabilities, 1970-2004. Journal of International Economics 73(2), 223–250.
Leibrecht, M. and J. Scharler (2008). Reconsidering consumption risk sharing among oecd countries: Some evidence based on panel cointegration. Open Economies Review 19 (4), 493–505.
Levine, R. and D. Renelt (1992). A sensitivity analysis of cross-country growth regressions. American Economic Review 82(4), 942–63.
Lewis, K. K. (1997). Are countries with official international restrictions "liquidity con- strained"? European Economic Review 41(6), 1079–1109.
Mace, B. J. (1991). Full insurance in the presence of aggregate uncertainty. Journal of Political Economy 99(5), 928–56.
Melitz, J. and F. Zumer (1999). Interregional and international risk-sharing and lessons for emu. Carnegie-Rochester Conference Series on Public Policy 51 (1), 149–188.
Mendoza, E. G. and V. Quadrini (2009). Financial globalization, financial crises and contagion. NBER Working Papers 15432, National Bureau of Economic Research, Inc.
Obstfeld, M. (1994, November). Are industrial-country consumption risks globally diver- sified? NBER Working Papers 4308, National Bureau of Economic Research, Inc.
Obstfeld, M. and K. S. Rogoff (1996). Foundations of International Macroeconomics. The MIT Press.
Sachs, J. and X. Sala-i Martin (1992). Fiscal federalism and optimum currency areas: Evidence for europe from the united states. CEPR Discussion Papers 632, C.E.P.R. Discussion Papers.
Sorensen, B. E., Y.-T. Wu, O. Yosha, and Y. Zhu (2007). Home bias and international risk sharing: Twin puzzles separated at birth. Journal of International Money and Finance 26(4), 587–605.
Sorensen, B. E. and O. Yosha (1998). International risk sharing and european monetary unification. Journal of International Economics 45 (2), 211–238.
Sorensen, B. E. and O. Yosha (2000). Is risk sharing in the united states a regional phenomenon? Economic Review (Q II), 33–47.
Stiglitz, J. E. (2010). Risk and global economic architecture: Why full financial integration may be undesirable. American Economic Review 100(2), 388–92.
Stockman, A. C. and L. L. Tesar (1995). Tastes and technology in a two-country model of the business cycle: Explaining international comovements. American Economic Re- view 85(1), 168–85.
Tesar, L. L. (1993). International risk-sharing and non-traded goods. Journal of International Economics 35(1-2), 69–89.