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Capital mobility and international sharing of cyclical risk

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  • Bengui, Julien
  • Mendoza, Enrique G.
  • Quadrini, Vincenzo

Abstract

This paper investigates whether the international globalization of financial markets allows for significant cross-country risk-sharing at the business cycle frequency. We find that cross-country risk-sharing is still limited and this is unlikely to be the result of financial frictions that limit state-contingent contracts. Part of the limited international risk sharing could be the consequence of frictions that de-facto reduce the short-term mobility of financial capital. But even with these frictions we find significant divergence between model predictions and the data.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Monetary Economics.

Volume (Year): 60 (2013)
Issue (Month): 1 ()
Pages: 42-62

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Handle: RePEc:eee:moneco:v:60:y:2013:i:1:p:42-62

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Web page: http://www.elsevier.com/locate/inca/505566

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Cited by:
  1. Epstein, Brendan & Mukherjee, Rahul & Ramnath, Shanthi, 2014. "Taxes and International Risk Sharing," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 1110, Board of Governors of the Federal Reserve System (U.S.).

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