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International Diversification of Social and Private Risk: The US and Japan

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Author Info
Stephen S. Golub (Swarthmore College)
Abstract

This paper concerns the gains from international trade in risky assets, with an application to the United States and Japan. I examine the role of international financial markets in diversifying the risks associated with the aggregate consumption opportunities of a nation (social risk) and the risks related to individual agents' consumption opportunities (private risk). The main empirical result is that international portfolio diversification between the United States and Japan leads to small reductions in social risk but large reductions in some private risks, especially for corporate profits.

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Paper provided by Cowles Foundation, Yale University in its series Cowles Foundation Discussion Papers with number 955.

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Length: 33 pages
Date of creation: Aug 1990
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Handle: RePEc:cwl:cwldpp:955

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  5. James Tobin, 1984. "A Mean-Variance Approach to Fundamental Valuations," Cowles Foundation Discussion Papers 711R, Cowles Foundation, Yale University. [Downloadable!]
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  7. Chen, Nai-Fu & Roll, Richard & Ross, Stephen A, 1986. "Economic Forces and the Stock Market," Journal of Business, University of Chicago Press, vol. 59(3), pages 383-403, July. [Downloadable!] (restricted)
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  9. Peter C.B. Phillips, 1990. "To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends," Cowles Foundation Discussion Papers 950, Cowles Foundation, Yale University. [Downloadable!]
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  11. Perron, P, 1988. "The Great Crash, The Oil Price Shock And The Unit Root Hypothesis," Papers 338, Princeton, Department of Economics - Econometric Research Program.
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  13. Cole, Harold L. & Obstfeld, Maurice, 1991. "Commodity trade and international risk sharing : How much do financial markets matter?," Journal of Monetary Economics, Elsevier, vol. 28(1), pages 3-24, August. [Downloadable!] (restricted)
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  14. Cole, Harold, 1988. "Financial Structure and International Trade," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 29(2), pages 237-59, May. [Downloadable!] (restricted)
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  17. Golub, Stephen S., 1990. "International capital mobility: net versus gross stocks and flows," Journal of International Money and Finance, Elsevier, vol. 9(4), pages 424-439, December. [Downloadable!] (restricted)
  18. Maurice Obstfeld, 1989. "How Integrated are World Capital Markets? Some New Tests," NBER Working Papers 2075, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  21. Jeffrey A. Frankel., 1988. "Factors Determining the Flow of Capital From Japan to the United States," Economics Working Papers 8872, University of California at Berkeley.
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