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Risk Sharing through Capital Gains

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  • Balli, Faruk
  • Kalemli-Ozcan, Sebnem
  • Sørensen, Bent E

Abstract

We estimate channels of international risk sharing between European Monetary Union (EMU), European Union, and other OECD countries 1992-2007. We focus on risk sharing through savings, factor income flows, and capital gains. Risk sharing through factor income and capital gains was close to zero before 1999 but has increased since then. Risk sharing from capital gains, at about 6 percent, is higher than risk sharing from factor income flows for European Union countries and OECD countries. Risk sharing from factor income flows is higher for Euro zone countries, at 14 percent, reflecting increased international asset and liability holdings in the Euro area.

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Paper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number 8643.

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Date of creation: Nov 2011
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Handle: RePEc:cpr:ceprdp:8643

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Keywords: capital markets; income insurance; international financial integration;

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  18. repec:spo:wpecon:info:hdl:2441/c8dmi8nm4pdjkuc9g7084aa4m is not listed on IDEAS
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Citations

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Cited by:
  1. Martin Schmitz, 2013. "Financial Markets And International Risk Sharing In Emerging Market Economies," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 18(3), pages 266-277, 07.
  2. Balli, Faruk & Basher, Syed Abul & Balli, Hatice Ozer, 2013. "International income risk-sharing and the global financial crisis of 2008–2009," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2303-2313.
  3. Philip Lane, 2013. "Financial Globalisation and the Crisis," Open Economies Review, Springer, vol. 24(3), pages 555-580, July.
  4. Faruk Balli & Faisal Rana, 2014. "Determinants of risk sharing through remittances: cross-country evidence," CAMA Working Papers 2014-12, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  5. Sybille Lehwald, 2012. "Has the Euro Changed Business Cycle Synchronization?Evidence from the Core and the Periphery," Ifo Working Paper Series Ifo Working Paper No. 122, Ifo Institute for Economic Research at the University of Munich.
  6. Faruk Balli & Syed Abul Basher & Faisal Rana, 2014. "The determinants of the volatility of returns on cross-border asset holdings," CAMA Working Papers 2014-01, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  7. Eleonora Pierucci & Luigi Ventura, 2011. "On international risk sharing and financial globalization: some gloomy evidence," Departmental Working Papers of Economics - University 'Roma Tre' 0124, Department of Economics - University Roma Tre.

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